We propose a new technique for the identification of discrete-time hybrid systems in the Piece-Wise Affine (PWA) form. The identification algorithm proposed in (Ferrari-Trecate et. al., 2000) is first considered and then improved under various aspects. Measures of confidence on the samples are introduced and exploited in order to improve the performance of both the clustering algorithm used for classifying the data and the final linear regression procedure. Moreover, clustering is performed in a suitably defined space that allows also to reconstruct different submodels that share the same coefficients but are defined on different regions.