This book presents the first principles of model construction from data, and their use for prediction and filtering. The topics included in the text constitute an essential tool in a variety of professions, such as engineering, statistics, big data analytics, life sciences and many other subjects. Often the comprehension of such topics is blurred due to unclear or overly mathematical presentations. This book takes the reader progressively and methodically through the steps of understanding the theoretical tools for data analysis. According to the long teaching experience of the author in his popular class at the Politecnico di Milano, the method adopted herein is a very successful path to approach model identification and data analysis.