Noise is the biggest obstacle that makes the incipient fault prognosis results uncorrected. According to the theories of correlation analysis and threshold de-noising by wavelets, wavelet transform domain filter (WTDF) is constructed. WTDF is an iterative process. By selecting the process parameters adaptively, WTDF can de-noise signal efficiently. More important, the faint component in the signal will become stronger. WTDF method is used to analyze the signals collected from a bearing that has incipient unbalance and misalignment faults. Results show that WTDF is effective for bearing incipient fault prognosis.