In this paper, four probability functions are compared with the purpose of establishing a methodology to improve the accuracy of the estimated wind energy in a desert city in northwestern Mexico. For the statistical modeling, 3 time series of wind speed data were used, corresponding to the years 2017, 2018, and 2019, recorded with a sonic anemometer at a sampling frequency of 10 Hz. From these, the analysis is performed with different stationarity periods (5, 30, 60, and 600 seconds). The estimation of the parameters characterizing the probability density functions was performed using different methods; the statistical models were evaluated by the coefficient of determination and the Nash-Sutcliffe efficiency coefficient, while their accuracy by the measured quadratic error, the mean square error, the mean absolute error, and the mean absolute percentage error. It was found that Weibull with the energy pattern factor method and Gamma using the method of moments were the probability density functions that best describe the statistical behavior of the wind speed and, therefore, better estimate the energy generated, so it is concluded that the proposed methodology will allow having greater confidence, both in the estimation of the wind speed and in the small wind energy available for its use.