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A new interpretation for the wavelet analysis is reported, which can is viewed as an information processing technique. It was recently proposed that every basic wavelet could be associated with a proper probability density, allowing defining the entropy of a wavelet. Introducing now the concept of wavelet mutual information between a signal and an analysing wavelet fulfils the foundations of a wavelet information theory (WIT). Both continuous and discrete time signals are considered. Finally, we showed how to compute the information provided by a multiresolution analysis by means of the inhomogeneous wavelet expansion. Highlighting ideas behind the WIT are presented.