Wind speed forecasting is difficult not only because of the influence of atmospheric dynamics but also for the impossibility of providing an accurate prediction with traditional statistical forecasting models that work by discovering an inner relationship within historical records. This paper develops a self-adaptive (SA) auto-regressive integrated moving average with exogenous variables (ARIMAX) model that is optimized very-short-term by the chaotic particle swarm optimization (CPSO) algorithm, known as the SA-ARIMA-CPSO approach, for wind speed prediction. The ARIMAX model chooses the wind speed result from the Weather Research and Forecasting (WRF) simulation as an exogenous input variable. Further, an SA strategy is applied to the ARIMAX process. When new information is available, the model process can be updated adaptively with parameters optimized by the CPSO algorithm. The proposed SA-ARIMA-CPSO approach enables the forecasting process to update training information and model parameters intelligently and adaptively. As tested using the 15-min wind speed data collected from a wind farm in Northern China, the improved method has the best performance compared with several other models.