A number of different forecasting methods have been proposed for cooling load forecasting including historic method, real-time method, time series analysis, and artificial neural networks, but accuracy and time efficiency in prediction are a couple of contradictions to be hard to resolve for building cooling load prediction. In order to improve the prediction accuracy of cooling load time series, weighted least squares support vector machine regression (WLS-SVM) method for a chaotic cooling load prediction is proposed. In this method, a sliding time window is built and data in the sliding time window are employed to reconstruct the dynamic model. Different weights are assigned to different data in the sliding time window, and the model parameters are refreshed on-line with the rolling of the time window. The results show that the method has more superior performance than other methods like LS-SVM.