I have a step-wise function. It is a function with theta.

I have a step-wise function. It is a function with theta.

See the FAQ: How to do a minimal reproducible example reprex for beginners.
If the question is about plotting, a representative data set is needed. If it's about creating the data frame, do you mean \beta_{i\dots n}, etc? Otherwise, what are P_\theta and X_1?
There is no data. Just plot this function. No restriction of theta. Theta is from negative infinity to positive infinity. And the range is from 0 to 1.
Please ignore P_θ. The function is called \beta_1, in terms of \theta.
Okay, think about this way. We have a function f(x).
When x <= -0.05, f(x)=0
When -0.05<x <=0.95, then f(x)=x+0.05
When x>0.95, f(x)=1
Please plot the curve of f(x).
See the FAQ: How to do a minimal reproducible example reprex for beginners.
If
eq <- function(x) dplyr::case_when(
x <= -0.05 ~ 0,
x > 0.05 & x <= 0.95 ~ x + 0.05,
x > 0.95 ~ 1
)
isn't what you intended, provide a replacement.