Deterministic forecasting models have been used through the years to provide accurate predictive outputs in order to efficiently integrate wind power into power systems. However, such models do not provide information on the uncertainty of the prediction. Probabilistic models have been developed in order to present a wider image of a predictive outcome. This paper proposes the lower upper bound estimation (LUBE) method to directly construct the lower and upper bound of prediction intervals (PIs) via training an artificial neural network (ANN) with two outputs. To evaluate the PIs, the minimization of a coverage width criterion (CWC) cost function is proposed. A particle swarm optimization (PSO) algorithm along with a mutation operator is further implemented, in order to optimize the weights and biases of the neurons of the ANN. Furthermore, wavelet transform (WT) is adopted to decompose the input wind power data, in order to simplify the pre-processing of the data and improve the accuracy of the predictive results. The accuracy of the proposed model is researched from a seasonal perspective of the data. The application of the model on the publicly available data of the 2014 Global Energy Forecasting Competition shows that the proposed WT-LUBE-PSO-CWC forecasting technique outperforms the state-of-the-art methodology in important evaluation metrics.