As one of the most rapidly developing artificial intelligence techniques, deep learning has been applied in various machine learning tasks and has received great attention in data science and statistics. Regardless of the complex model structure, deep neural networks can be viewed as a nonlinear and nonparametric generalization of existing statistical models. In this review, we introduce several popular deep learning models including convolutional neural networks, generative adversarial networks, recurrent neural networks, and autoencoders, with their applications in image data, sequential data and recommender systems. We review the architecture of each model and highlight their connections and differences compared with conventional statistical models. In particular, we provide a brief survey of the recent works on the unique overparameterization phenomenon, which explains the strengths and advantages of using an extremely large number of parameters in deep learning. In addition, we provide a practical guidance on optimization algorithms, hyperparameter tuning, and computing resources.