During the past decade there has been an explosion in computation and information technology. With it has come vast amount of data in a variety of fields such as medicine, finance and marketing. The challange to understand these data has led to the development of new tools in the field of statistics, and spawned new areas such as data mining, machine learning and bioinformatics. This lecture describes the important ideas in these areas in a common conceptual framework. The many topics include neural networks, support vector machines, classification trees and generalized additive models.