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This paper presents a new progressive refinement algorithm for full spectral rendering. This algorithm adopts wavelet transformation to efficient represent full spectral data. To our knowledge, this is the first approach to employing such a transformation for progressive, full spectral rendering, where the radiance calculation through multiplications of two spectral functions is computed under a wavelet basis. We implemented the proposed technique for Monte Carlo direct lighting, and divide the rendering process into 9 stages (i=1-9), each of which employs the first leading 2^i coefficients to produce progressive results. In the fourth progressive stage, our algorithm renders a spectral image that is 95% similar to the final non-progressive approach but only requires less than 70% of execution time. The quality of the rendered image is visually plausible being indistinguishable to those rendered by the non-progressive method. Our algorithm demonstrates features of fast convergence and high image fidelity. It is graceful, efficient, progressive, and flexible for full spectral rendering.