Abstract: The wavelet transform has become a new signal processing technology in last decade, it has been imposed great importance by more and more theoretical workers and engineers. Simultaneity, the mathematical theory of the wavelet transform is complicated. In this paper, the basic theory and advantage of wavelet transform is simply revealed by comparing with Fourier transform and short time Fourier transform, deep cognition and understanding of wavelet transform is given by MATLAB simulation. These result shows that wavelet transform is superior to Fourier transform and short time Fourier transform both in time and frequency orientation in signal processing.