The invention relates to a method for automatically analyzing data and constructing data classification models based on the data. In an embodiment of the method, the method includes selecting a best combination of methods from a plurality of classification, predictor selection, and data preparatory methods; and determining a best model that corresponds to one or more best parameters of the classification, predictor selection, and data preparatory methods for the data to be analyzed. The best model; and returning a small set of predictors sufficient for the classification task.