This work aims to develop a new High Dimensional Model Representation (HDMR) based method which can construct an analytical structure for a given multivariate data modelling problem. Modelling multivariate data through a divide-and-conquer method stands for multivariate data partitioning process in which we deal with a number of less variate data sets instead of a single N dimensional problem. Generalized HDMR is one of these methods used to model a multivariate data set which has a number of scattered nodes with associated function values. However, Generalized HDMR includes a linear equation system with huge number of unknowns and equations to be solved. This equation sometimes has linearly dependent equations in it and this is an undesirable situation. This work offers a new method named Piece-wise Generalized HDMR method which bypasses this disadvantage as well as reducing the mathematical complexity and CPU time needed to complete the algorithm of the previous method. Our new method splits the given problem domain into subdomains, applies the Generalized HDMR philosophy to each subdomain and superpositions the information coming from these subdomains. The algorithm of this new method and a number of numerical implementations are given in this paper.