Forecasting a particular variable can depend upon temporal or spatial scale. Temporal variations that indicate variations with time, reflect the stochasticity present in the variable. Spatial variation usually are dominant in climatology and meteorology. Temporal scale for a variable can be modeled in terms of time-series. A time series is a successively ordered sequence of numerical data points, and can be taken on any variable changing with time. Wind speed forecasting applications lie majorly in the area of electricity market clearing, economic load dispatch and scheduling, and sometimes to provide ancillary support. Thus, a proper classification based on the prediction horizon i.e. the duration of prediction becomes important for various transmission system operators.