This letter investigates how to identify the marginal bottleneck, which is defined as the constraint most likely to be violated with the increasing wind generation uncertainty of power system in real-time dispatch. The presented method takes the correlation of wind power prediction error (WPPE) into account, leading to an ellipsoidal formulation of wind power generation region (WGR). Based on constructed WGR, the identification procedure is formulated as a max-max-min problem, which is solved by the algorithm based on iteration linear program with the proposed method to select appropriate initial points of WPPE. Finally, two cases are tested, demonstrating the efficacy and efficiency of the procedure to identify marginal bottleneck.