This answer uses tikzmark as mentioned in the comments on your question. Basically, the idea is to typeset the tables as normal and then overlay them with a tikzpicture which draws the connecting arrows.
I've created one tabular for the top two tables and another for the third. The only use of tikz here is to create the arrows in the second column.
\newcommand*{\myarrow}[1][50]{\tikz{\draw [black!#1, {Stealth[length=7.5pt]}-, thick] (0,0) -- (.35,0);}}
defines a macro, \myarrow[], which takes a single optional argument which determines how dark or heavy the arrow will be as a percentage. The default is 50 and I've also used 85 in the example.
The tabular environments use the packages array and dcolumn and two customised columns:
\newcolumntype{d}{D{.}{.}{2}}
\newcolumntype{o}{>{$}c<{$}}
The first centres the column on the decimal point for numbers with at most 2 decimal places. This also uses maths mode. The second just creates a centred maths mode.
\tikzmark{} is used in the tabular environments to mark coordinates for use when drawing the arrows later. This code does not affect the typesetting of the tables themselves, however.
The marks are then used in a tikzpicture which overlays the tables. This picture includes the commands to draw the arrows connecting the tables.
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{tikzmark, arrows.meta, calc, bending}
\usepackage{array, dcolumn}
\newcolumntype{d}{D{.}{.}{2}}
\newcolumntype{o}{>{$}c<{$}}
\newcommand*{\myarrow}[1][50]{\tikz{\draw [black!#1, {Stealth[length=7.5pt]}-, thick] (0,0) -- (.35,0);}}
\begin{document}
\begin{table}
\begin{tabular}{oco|d!{$\dots$}d}
\textbf{l} & & t & \multicolumn{1}{o!{$\dots$}}{P_{L1}} & \multicolumn{1}{o}{P_{Ln}}\\\cline{1-1}\cline{3-5}
\tikzmark{p1}1 & \myarrow & 1 & 0.40 & 0.58\\
\tikzmark{p2}1 & \myarrow & 2 & 0.41 & 0.60\\
\tikzmark{p3}2 & \myarrow[85] & 3 & 0.20 & 0.41\\
\tikzmark{p4}1 & \myarrow & 4 & 0.39 & 0.60\\
\vdots & & \vdots & \multicolumn{1}{o}{\vdots} & \vdots\\
\tikzmark{p5}2 & \myarrow[85] & M & 0.21 & 0.43\\
\end{tabular}\\[\bigskipamount]
\begin{tabular}{o|d!{$\dots$}dd}
c_i & \multicolumn{1}{o!{$\dots$}}{P_{L1}} & \multicolumn{1}{o}{P_{Ln}} & \multicolumn{1}{o}{Q_{L1}}\\\hline
\tikzmark{c1}c_1 & 0.40 & 0.59 & 0.10\\
\tikzmark{c2}c_2 & 0.21 & 0.42 & 0.05\\
\vdots & \multicolumn{1}{o}{\vdots} & \vdots & \vdots\\
c_k & 0.32 & 0.33 & 0.02\\
\end{tabular}
\end{table}
\begin{tikzpicture}[remember picture, overlay, -{Stealth[length=7.5pt]}, draw]
\coordinate (c1coord) at ($({pic cs:c1}) + (-.25em,.25em)$);
\coordinate (c2coord) at ($({pic cs:c2}) + (-.25em,.25em)$);
\foreach \i in {1,...,5}
\coordinate (p\i1) at ($({pic cs:p\i}) + (-.25em,.25em)$);
\coordinate (p12) at ($(p11) + (-1em,-1em)$);
\coordinate (p13) at ($(c1coord) + (-1em,1em)$ -| p12);
\coordinate (p22) at ($(p21) + (-1.5em,-1em)$);
\coordinate (p23) at ($(c1coord) + (-1.5em,1em)$ -| p22);
\coordinate (p32) at ($(p31) + (-2.5em,-1em)$);
\coordinate (p33) at ($(c2coord) + (-2.5em,1em)$ -| p32);
\coordinate (p42) at ($(p41) + (-2em,-1em)$);
\coordinate (p43) at ($(c1coord) + (-2em,1em)$ -| p42);
\coordinate (p52) at ($(p51) + (-3em,-1em)$);
\coordinate (p53) at ($(c2coord) + (-3em,1em)$ -| p52);
\foreach \i in {1,2,4}
\draw [black!50] (p\i1) to[out=-180, in=90] (p\i2) -- (p\i3) to[out=-90, in=180] (c1coord);
\foreach \i in {3,5}
\draw [black!85, dashed] (p\i1) to[out=-180, in=90] (p\i2) -- (p\i3) to[out=-90, in=180] (c2coord);
\end{tikzpicture}
\end{document}

\documentclass{...}and ending with\end{document}. You can also insert your image directly in here instead of a link – Jul 09 '14 at 20:39tikzmarkif I've ever seen one!:-)– Paul Gessler Jul 09 '14 at 20:55pst-nodecould also be helpful here. – Bernard Jul 09 '14 at 21:12