Recursive wind speed forecasting based on Hammerstein Auto-Regressive model

•Developed a new recursive WSF model for 1–24h horizon based on Hammerstein model.•Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series.•Recursive WSF intrinsic error accumulation corrected by applying rotation.•Model verified for real wind speed data from two sites with different characteristics.•HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction.