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The efficient representation of a signal as a linear combination of elementary "atoms" or building blocks is central to much signal processing theory and many applications. Wavelets provide a powerful, flexible, and efficiently implementable class of such atoms. In this paper, we develop an efficient method for selecting an orthonormal wavelet that is matched to a given signal in the sense that the squared error between the signal and some finite resolution wavelet representation of it is minimized. Since the squared error is not an explicit function of the design parameters, some form of approximation of this objective is required if conventional optimization techniques are to be used. Previous approximations have resulted in nonconvex optimization problems, which require delicate management of local minima. In this paper, we employ an approximation that results in a design problem that can be transformed into a convex optimization problem and efficiently solved. Constraints on the smoothness of the wavelet can be efficiently incorporated into the design. We show that the error incurred in our approximation is bounded by a function that decays to zero as the number of vanishing moments of the wavelet grows. In our examples, we demonstrate that our method provides wavelet bases that yield substantially better performance than members of standard wavelet families and are competitive with those designed by more intricate nonconvex optimization methods.