Hola.
Yo lo hiciera con la función cut {base} de la siguiente forma:
x <- data.frame(b=c(0, 0, 0.001, 0.374, 0.026, 1.000))
x$c <- cut(x$b,c(-1,0.001,0.01,0.05,1),c("***","**","*",""))
x
Saludos.
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