\documentclass{article}
\usepackage{com.braju.graphicalmodels}
\usepackage{amsmath}
% \special{papersize=40mm,80mm}
% \setlength{\pdfpagewidth}{40mm}
% \setlength{\pdfpageheight}{80mm}
% \usepackage[vcentering,dvips]{geometry}
% \geometry{papersize={80mm,120mm},total={80mm,120mm},margin=0mm}



\catcode`\@=11%

\pagestyle{empty}

\begin{document}
\TeXtoEPS

\LARGE
\psset{unit=10mm,arrowscale=1.5,linewidth=1.5pt}

\begin{pspicture}(0,0)(5,6)
  \SpecialCoor

  \rput(1,1){\GM@node[observed=true]{y_t1}}
  \GM@label[angle=-90]{y_t1}{$\boldsymbol{y}_{t-1}$}

  \rput(4,1){\GM@node[observed=true]{y_t}}
  \GM@label[angle=-90]{y_t}{$\boldsymbol{y}_t$}

  \rput(1,3){\GM@node{z_t1}}
  \GM@label[angle=140]{z_t1}{$\boldsymbol{z}_{t-1}$}
  
  \rput(4,3){\GM@node{z_t}}
  \GM@label[angle=140]{z_t}{$\boldsymbol{z}_t$}

  \rput(1,5){\GM@node[observed=true]{u_t1}}
  \GM@label[angle=90]{u_t1}{$\boldsymbol{u}_{t-1}$}

  \rput(4,5){\GM@node[observed=true]{u_t}}
  \GM@label[angle=90]{u_t}{$\boldsymbol{u}_t$}

  \ncline[arrows=->]{z_t1}{y_t1}
  \ncline[arrows=->]{z_t}{y_t}
  \ncline[arrows=->]{u_t1}{z_t1}
  \ncline[arrows=->]{u_t}{z_t}
  \ncline[arrows=->]{z_t1}{z_t}
  \nccurve[arrows=->,angleA=-45,angleB=45]{u_t1}{y_t1}
  \nccurve[arrows=->,angleA=-45,angleB=45]{u_t}{y_t}

%  \ncline[arrows=->]{f_1}{y_1}

\end{pspicture}

\endTeXtoEPS
\end{document}