Accurate prediction of wind speed plays an important role in increasing the power generation of wind turbines and realizing efficient use of wind energy. However, due to the large number of wind turbines in the wind farm and the complex wake effects between the units, the coupling degree and spatial correlation of the wind speed of the wind turbines are increased. Accordingly, this paper proposes a wind speed prediction model based on spatio-temporal dependency analysis. The proposed model first uses long short-term memory(LSTM) neural network to predict the wind speed of each wind turbine to obtain its residuals, which can extract the time correlation of the wind-speed series; Then by applying the Clayton Copula function to analyze the correlation between the residual series and wind-speed series to get the joint-distribution function. The joint-distribution function can be used to calculate the prediction error of the wind speed and complete the wind speed prediction. The validity of the method in this work is verified using the measured wind-speed data of a wind farm. Experimental results show that the method effectively solves the problem of finding spatio-temporal dependency of wind speed and significantly improves the prediction accuracy of wind speed.