| Wavelet Analysis is one of the most popular fields in science research recently in the world which has offered a powerful tool and brought the original ideas to some of the correlative subjects. Wavelet Analysis is a breakthrough progress after Fourier analysis and has caused the extensive concern in science and technology. Wavelet analysis theory is a arisen science which was applied extensively to every domain. Being a time-frequency analysis tool in 1980s', wavelet transform has succeeded to be applied to the signal and imageprocessing domain and been the criterion of JPEG 2000 by its advantages. Based on Multiresolution Analysis, scale functions and wavelet functions have good analysis and computation characteristic which are been made the best of to interpolate with wavelet. Then interpolating integral formula is gained. The method is named of numerical integration method with wavelet has attracted many scholars' interests.This paper first presents the development of the wavelet analysis and some classic subjects such as Multiresolution analysis and Mallat arithmetic. Then it also introduces supported wavelet, Daubechies wavelet, and Daubechies autocorrelation function.Secondly, this paper presents wavelet interpolation. It mainly presents the conformation of interpolating basis function. Following the parts of multiresolution analysis, the interpolating wavelet function which bases on interpolating polynomial in the equinoxes is conformed. The value of function in the equinoxes is one-for-one with wavelet coefficients in interpolating wavelet basis.At last, following the parts of wavelet interpolation, this paper presents a new arithmetic of computing numerical integration. It gives wavelet interpolating format, integral format, and the computation of quadrature coefficient. We can expediently construct wavelet interpolating format from the interpolating property of Daubechies autocorrelation function, whose good convergence makes this arithmetic having higher precision.
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