\documentclass[tikz,border=5pt]{standalone}
\usepackage{pgfplots}
\usepackage{pgfplotstable}
\pgfplotsset{compat=1.18}
\usepgfplotslibrary{groupplots}

% 定义数据集
\pgfplotstableread{
0 0
0.101010101010101 0.003968337098046536
0.202020202020202 0.03879848139724037
0.303030303030303 0.07449681366571764
0.404040404040404 0.03062920324654983
0.5050505050505051 0.01274238518397149
0.6060606060606061 0.2249561797283897
0.7070707070707071 0.4999479827498307
0.8080808080808081 0.3981193574950731
0.9090909090909091 0.04027172337377245
1.01010101010101 0.1936933789812283
1.111111111111111 1.004297738910544
1.212121212121212 1.394932756973723
1.313131313131313 0.6658916995769133
1.414141414141414 1.603273008937967e-05
1.515151515151515 0.8992176669853079
1.616161616161616 2.486287413463038
1.717171717171717 2.385626888700214
1.818181818181818 0.6129492994007223
1.919191919191919 0.1885706238206871
2.02020202020202 2.510765515340476
2.121212121212121 4.499459697752282
2.222222222222222 2.997127051553131
2.323232323232323 0.2564675518688727
2.424242424242424 1.128754863930759
2.525252525252525 5.201522697121352
2.626262626262626 6.5398258996952
2.727272727272727 2.851902884472503
2.828282828282828 0.0002565216248327663
2.929292929292929 3.384809928188597
3.03030303030303 8.751916992779028
3.131313131313131 7.910955632915607
3.232323232323232 1.914281347858205
3.333333333333333 0.5827936373472342
3.434343434343434 7.288588222730711
3.535353535353535 12.49809835020434
3.636363636363636 7.988767667214107
3.737373737373737 0.6469864674324911
3.838383838383838 2.862664569705941
3.939393939393939 12.69242258873778
4.040404040404041 15.45826825380854
4.141414141414141 6.529005928469218
4.242424242424242 0.001298623373325026
4.343434343434343 7.493997184177516
4.444444444444445 18.84985620023903
4.545454545454545 16.62351426982987
4.646464646464646 3.908496570941216
4.747474747474747 1.210793135870907
4.848484848484849 14.59137448749025
4.94949494949495 24.49509441584871
5.05050505050505 15.3397495600035
5.151515151515151 1.197834293993105
5.252525252525253 5.422508419649889
5.353535353535354 23.50300336750087
5.454545454545454 28.13470646164054
5.555555555555555 11.66429730543301
5.656565656565657 0.004104214377206993
5.757575757575758 13.26010977185174
5.858585858585858 32.79392402811185
5.959595959595959 28.49610044960613
6.060606060606061 6.569712537567954
6.161616161616162 2.088293714396938
6.262626262626262 24.45198029548618
6.363636363636363 40.48929368541874
6.464646464646465 25.0167045899648
6.565656565656566 1.895367598559552
6.666666666666667 8.835604467381064
6.767676767676767 37.6590232455743
6.868686868686869 44.55324510452694
6.96969696969697 18.22496944963562
7.070707070707071 0.01001981363363793
7.171717171717171 20.71655274408158
7.272727272727272 50.59758797814782
7.373737373737374 43.50128113988929
7.474747474747475 9.872295948273999
7.575757575757575 3.231361198143108
7.676767676767676 36.9031639133886
7.777777777777778 60.47915735717622
7.878787878787879 36.98619168221489
7.979797979797979 2.726295179067634
8.080808080808081 13.12949999662517
8.181818181818182 55.18598991843011
8.282828282828282 64.69764837122634
8.383838383838384 26.17831427141698
8.484848484848484 0.02077647477786736
8.585858585858587 29.89680230611936
8.686868686868687 72.27396258780425
8.787878787878787 61.61139553525694
8.888888888888889 13.79086540037578
8.98989898989899 4.6564009604268
9.09090909090909 51.97758237687653
9.191919191919192 84.46276216028679
9.292929292929292 51.21470039350742
9.393939393939394 3.677679524057532
9.494949494949495 18.33196860253283
9.595959595959595 76.1091578096789
9.696969696969697 88.55134175370434
9.797979797979798 35.49172666505309
9.8989898989899 0.03848964729204756
10 40.83440224611729
}\mydata

\begin{document}
\begin{tikzpicture}
    \begin{groupplot}[
        group style={group size=3 by 1, horizontal sep=1.2cm},
        xmin=0, ymin=0, height=4cm, width=5cm, no markers
    ]
        % 第一张图：全局概览 + 第一个放大框
        \nextgroupplot
        \addplot [very thick] table{\mydata};
        % 绘制红框：对应 x=0到5, y=0到30
        \draw [red, dashed, thick] (axis cs:0,0) rectangle (axis cs:5,30);

        % 第二张图：初步放大展示 + 第二个放大框
        \nextgroupplot[xmax=5, ymax=30]
        \addplot [very thick] table{\mydata};
        % 绘制红框：对应 x=3到5, y=10到25
        \draw [red, dashed, thick] (axis cs:3,10) rectangle (axis cs:5,25);

        % 第三张图：最终局部放大
        \nextgroupplot[xmin=3, xmax=5, ymin=10, ymax=25]
        \addplot [very thick] table{\mydata};
    \end{groupplot}

    % 绘制子图之间的蓝色连接箭头
    \draw [thick, blue, ->, shorten >=3pt, shorten <=3pt]
        (group c1r1.east) -- (group c2r1.west);
    \draw [thick, blue, ->, shorten >=3pt, shorten <=3pt]
        (group c2r1.east) -- (group c3r1.west);

\end{tikzpicture}
\end{document}