There exist various ways to use LaTeX fonts in the matplotlib plots. When I first googled this I came upon embedding *.pgf files directly into the document which is then supposed to use the same font as the rest of the document. However I had problems with the correct size of the resulting images.
Now I embed the *.pdf files directly which has the added advantage that it is easy to preview the files without running LaTeX. Before I always saved two files per image: One pdf for viewing, one pgf for including.
Setup
matplotlibrc
The following settings are necessary in the matplotlibrc file. Create this file if it does not exist and put it in the folder from which you run your notebooks. I think it's pretty self-explanatory what each setting does, otherwise the matplotlib-help is of great value.
axes.labelsize : 12
axes.titlesize : 14
figure.titlesize : 14
legend.fontsize : 10
savefig.bbox : tight
xtick.labelsize : 10
ytick.labelsize : 10
font.cursive : Zapf Chancery
font.family : lmodern
font.monospace : Courier, Computer Modern Typewriter
font.sans-serif : Helvetica, Avant Garde, Computer Modern Sans serif
font.serif : Times, Palatino, New Century Schoolbook, Bookman, Computer Modern Roman
font.size : 10
pgf.rcfonts : False
text.usetex : true
Jupyter Notebook
To save to a pdf file from your notebook:
plt.savefig('figures/correlation.pdf')
LaTeX document
In the LaTeX document the image can be included using this code:
\begin{figure}[h!]
\centering
\includegraphics[scale=0.8]{figures/correlation.pdf}
\caption{The value of the incremental correlation coefficient computed for two random variables.}
\label{fig:correlation-coefficient}
\end{figure}
Also you have to add
\usepackage{lmodern}
to your front matter.
Result
The resulting image looks like this, I think it's pretty neat.
The sizes can also be adopted separately for each plot. For more information on font sizes, look here.
Edit: KarelZe showed me another way to achieve this result: https://gist.github.com/KarelZe/778b77dcc8dd30e59dae8f14c139eb28