This paper presents a modified S‐transform (ST) based on a compactly supported kernel. A version of Cheriet‐Belochrani (CB) kernel is chosen for this purpose. It is shown that the proposed modified S‐transform (CBST) offers better frequency resolution than the traditional ST. It is used to decompose the wind speed time series into frequency‐based subseries. Further, artificial neural network (ANN) is applied to each of the subseries for an hour ahead prediction. Finally, forecast for the original wind speed series is obtained by combining the prediction result of all the subseries. Initially, increasing the number of subseries results in a decrease in prediction error. However, when the number of subseries is sufficiently large, no significant change in prediction error is observed if the number is further increased. It is also observed that, for a model based on neural‐network, involving decomposition of wind speed time series, the proposed model offers low prediction error. A comparative study with the methods based on wavelet transform (WT) and empirical mode decomposition (EMD) demonstrates the effectiveness of the proposed method. For this study, we have used simulated wind speed data generated by nonhydrostatic mesoscale model and data recorded using anemometer and LiDAR instrument at different heights to evaluate the short‐term forecasting results.