Classical dynamic Bayesian networks (DBNs) are based on the homogeneous Markov assumption and cannot deal with heterogeneity and non-stationarity in temporal processes. Various approaches to relax the homogeneity assumption have recently been proposed. The present paper aims to improve the shortcomings of three recent versions of heterogeneous DBNs along the following lines: (i) avoiding the need for data discretization, (ii) increasing the flexibility over a time-invariant network structure, (iii) avoiding over-flexibility and overfitting by introducing a regularization scheme based in inter-time segment information sharing. The improved method is evaluated on synthetic data and compared with alternative published methods on gene expression time series from Drosophila melanogaster.