Export plot as pdf with a utf8 character

Question

The utf8 character in the label does not appear when I save the plot in pdf format. It does not appear when I use the "Export" button in RStudio, and it does not appear when I include this code in a Sweave document with pdf graphics output. My problem is to get the correct pdf output with Sweave (not knitr). (If I don't find a solution, I will generate it with tikzDevice)

ylab <- expression(paste("", bar(italic("\u2113")), "(",phi[0], "|", italic(list(x,y)), ")"))
plot(0,0, ylab=ylab)

Answer 1

EDIT

Follow up question: custom graphical device in sweave shows how to integrate this into a custom graphic device.

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This seems to render using CairoPDF() frm the Cairo package using ubuntu14.04, R3.2.1.EDIT from Stephane in the comments: if CairoPDF() doesn't work, then try cairo_pdf().

Some sweave code (using Rstudio)

\documentclass{article}

\begin{document}
\SweaveOpts{concordance=TRUE}

<<Export_plot, echo=FALSE>>=
library(Cairo)

CairoPDF("test.pdf")
par(mar=c(6,6,6,6))
ylab <- expression(paste("", bar(italic("\u2113")), "(",phi[0], "|", italic(list(x,y)), ")"))
plot(0,0, ylab=ylab, cex.lab=2)
invisible(dev.off())

@

%Plot
\includegraphics[width=6cm]{test.pdf}

\end{document}

This is the pdf output i get (note the resolution is rubbish as i have converted it to png via gimp)