How do I plot a step function with Matplotlib in Python?

It seems like you want step.

E.g.

import matplotlib.pyplot as plt

x = [1,2,3,4] 
y = [0.002871972681775004, 0.00514787917410944, 
     0.00863476098280219, 0.012003316194034325]

plt.step(x, y)
plt.show()