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Accurate prediction of fine particulate matter (PM2.5) concentration is crucial for improving environmental conditions and effectively controlling air pollution. However, some existing studies could ignore the nonlinearity and spatial correlation of time series data observed from stations, and it is difficult to avoid the redundancy between features during feature selection. To further improve the accuracy, this study proposes a hybrid model based on empirical mode decomposition (EMD), minimal-redundancy-maximal-relevance (mRMR), and geographically weighted neural network (GWNN) for hourly PM2.5 concentration prediction, named EMD-mRMR-GWNN. Firstly, the original PM2.5 concentration sequence with distinct nonlinearity and non-stationarity is decomposed into multiple intrinsic mode functions (IMFs) and a residual component using EMD. IMFs are further classified and reconstructed into high-frequency and low-frequency components using the one-sample t-test. Secondly, the optimal feature subset is selected from high-frequency and low-frequency components with mRMR for the prediction model, thus holding the correlation between features and the target variable and reducing the redundancy among features. Thirdly, the residual component is predicted with the simple moving average (SMA) due to its strong trend and autocorrelation, and GWNN is used to predict the high-frequency and low-frequency components. The final prediction of the PM2.5 concentration value is calculated by an artificial neural network (ANN) composed of the predictive values of each component. PM2.5 concentration prediction experiments in three representational cities, such as Beijing, Wuhan, and Kunming were carried out. The proposed model achieved high accuracy with a coefficient of determination greater than 0.92 in forecasting PM2.5 concentration for the next 1 h. We compared this model with four baseline models in forecasting PM2.5 concentration for the next few hours and found it performed the best in PM2.5 concentration prediction. The experimental results indicated the proposed model can improve prediction accuracy. [ABSTRACT FROM AUTHOR]