We show that every random variable X fulfills a certain nontrivial integrability condition, in the sense that there always exists a nonnegative function g--depending on X--growing to [infinity] as x--[infinity], and such that Eg(X)[infinity]. Refinements of this universal property allow us to...

We propose a dynamic graphical model which generalizes nonhomogeneous hidden Markov models. Inference and forecast procedures are developed. A comparison with an exact propagation algorithm is established and equivalence is stated.