I am currently using R 2.15.3 (Security Blanket) in Ubuntu. R 3.0 is already released, but I could not update to it using apt-get. Will there be any trouble if I install it from tar.gz from cran website?
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R 3.0.0 has been available for Ubuntu essentially since the release, the procedure is always the same: I update the package for Debian (unstable), Michael takes these and rebuilds them on launchpad for several Ubuntu releases. See the very clear README at the CRAN mirrors.
This time, however, it is a little different as R 3.0.0 requires you to updated all R packages as well. So so far, Michael provides the binaries only via his rdev PPA, not the one mirrored to CRAN. This was explained in detail in a post to r-sig-debian and on his blog (which is syndicated to R Bloggers etc).