Short-term wind speed prediction is an important task for the wind energy development. However, due to intermittency and uncertainty of wind resources, it is difficult to be achieved only by the deterministic prediction. Hence, there is a motivation to develop a novel method to further consider the uncertainty. The originality is to develop an innovative hybrid wind speed forecasting model based on empirical mode decomposition, variational mode decomposition, sample entropy and conditional kernel density estimation. More specifically, the original data are decomposed in real time by the refined variational mode decomposition, where the number of decomposition levels is adaptively determined by empirical mode decomposition and sample entropy. Then, conditional kernel density estimation with the bandwidth optimized by normal reference criterion is used to obtain the predictive probability density function for each subseries, by which the expectations and variances are derived. Finally, the deterministic prediction is produced by summarizing these expectations and the probabilistic prediction interval is obtained by the covariance and the Gaussian distribution assumption on target wind speed. It should be emphasized that some hypotheses are adopted in the proposed method: the correlations among different subseries can be characterized by the covariance and the target wind speed follows Gaussian distribution. Two case studies based on the measured data are used to evaluate the performance of the proposed method. The results show the improvement by the proposed method is up to 20% compared with empirical mode decomposition-based method. The main conclusion is that the proposed method may provide the better prediction over other models for the wind speed data with nonstationarity.