In this paper a new method, based on linear prediction, is proposed for wind speed forecasting. The method utilizes the ‘linear prediction’ method in conjunction with ‘filtering’ of the wind speed waveform. The filtering eliminates the undesired parts of the frequency spectrum (i.e. smoothing) of the measured wind speed which is less effective in an application, for example, in a wind energy conversion system. The linear prediction method is intuitively explained with some easy to follow case studies to clarify the complex underlying mathematics. For verification purposes, the proposed method is compared with real wind speed data based on experimental results. The results show the effectiveness of the linear prediction method.