Abstract: A technique for building probabilistic wavelet synopses for multi-measure data sets is provided. In the presence of multiple measures, it is demonstrated that the problem of exact probabilistic coefficient thresholding becomes significantly more complex. An algorithmic formulation for probabilistic multi-measure wavelet thresholding based on the idea of partial-order dynamic programming (PODP) is provided. A fast, greedy approximation algorithm for probabilistic multi-measure thresholding based on the idea of marginal error gains is provided. An empirical study with both synthetic and real-life data sets validated the approach, demonstrating that the algorithms outperform naive approaches based on optimizing individual measures independently and the greedy thresholding scheme provides near-optimal and, at the same time, fast and scalable solutions to the probabilistic wavelet synopsis construction problem.