A novel deep learning ensemble model with data denoising for short-term wind speed forecasting

•The wavelet soft threshold denoising (WSTD) is systematically introduced.•The problem that is hardly tackled by decomposition methods is solved via the WSTD.•A deep learning method gated recurrent unit (GRU) is successfully developed.•The WSTD-GRU has a good performance in accuracy, speed, volatility and adaptability.•The parameters of the proposed model are adjusted by cross-validated grid-search.