This paper presents a method for distributed multivariate regression using wavelet-based collective data mining (CDM). The method seamlessly blends machine learning and the theory of communication with the statistical methods employed in parametric multivariate regression to provide an effective data mining technique for use in a distributed data and computation environment. The technique is applied to two benchmark data sets, producing results that are consistent with those obtained by applying standard parametric regression techniques to centralized data sets. Evaluation of the method in terms of mode accuracy as a function of appropriateness of the selected wavelet function, relative number of nonlinear cross-terms, and sample size demonstrates that accurate parametric multivariate regression models can be generated from distributed, heterogeneous, data sets with minimal data communication overhead compared to that required to aggregate a distributed data set. Application of this method to linear discriminant analysis, which is related to parametric multivariate regression, produced classification results on the Iris data set that are comparable to those obtained with centralized data analysis.