We propose a constructive method to find compactly supported orthonormal wavelets for any given compactly supported scaling function φ in the multivariate setting. For simplicity, we start with a standard dilation matrix 2I2×2 in the bivariate setting and show how to construct compactly supported functions ψ1, · · · , ψn with n > 3 such that {2ψj(2x − `, 2ky − m), k, `,m ∈ Z, j = 1, . . . , n} ...