The wavelet transform is used to reduce the high frequency multipath of pseudorange and carrier phase GPS double differences (DDs). This transform decomposes the DD signal, thus separating the high frequencies due to multipath effects. After the decomposition, the wavelet shrinkage is performed by thresholding to eliminate the high frequency component. Then the signal can be reconstructed without the high frequency component. We show how to choose the best threshold. Although the high frequency multipath is not the main multipath error component, its correction provides improvements of about 30% in pseudorange average residuals and 24% in carrier phases. The results also show that the ambiguity solutions become more reliable after correcting the high frequency multipath.