Probability distribution of aggregated wind power generation in a region is one of important issues for power system daily operation. This paper presents a novel method to forecast the predictive densities of the aggregated wind power generation from several geographically distributed wind farms, considering the non-Gaussian and non-stationary characteristics in wind power uncertainties. Based on a mesoscale numerical weather prediction model, a dynamic system is established to formulate the relationship between the atmospheric and near-surface wind fields of geographically distributed wind farms. A recursively backtracking framework based on the particle filter is applied to estimate. the atmospheric state with the near-surface wind power generation measurements, and to forecast the possible samples of the aggregated wind power generation. The predictive densities of the aggregated wind power generation are then estimated based on these predicted samples by a kernel density estimator. In case studies, the new method presented is tested on a 9 wind farms system in Midwestern United States. The testing results that the new method can provide competitive interval forecasts for the aggregated wind power generation with conventional statistical based models, which validates the effectiveness of the new method. (C) 2015 Elsevier Ltd. All rights reserved.