Thanks to the robotic telescopes technology, the time domain astronomy leads to a large number of transient events detected in images every night. Data mining and machine learning tools used for object classification are presented. The goal is to automatically classify transient events for both further follow-up by a larger telescope and for statistical studies of the events themselves. A special attention is given to the identification of gamma-ray burst afterglows. Machine learning techniques is used to identify GROND gamma-ray burst afterglow among the astrophysical objects present in the SDSS archival images based on the $g'-r'$, $r'-i'$ and $i'-z'$ colour indices. The performance of the support vector machine, random forest and neural network algorithms is compared. A joint meta-classifier, built on top of the individual classifiers, can identify GRB afterglows with the overall accuracy of $\gtrsim 90\%$.