The Empirical Mode Decomposition (EMD) and Auto-Regressive model (AR) are applied to a long-term prediction of sunspot numbers. With the sample data of sunspot numbers from 1848 to 1992, the method is evaluated by examining the measured data of the solar cycle 23 with the prediction: different time scale components are obtained by the EMD method and multi-step predicted values are combined to reconstruct the sunspot number time series. The result is remarkably good in comparison to the predictions made by the solar dynamo and precursor approaches for cycle 23. Sunspot numbers of the coming solar cycle 24 are obtained with the data from 1848 to 2007, the maximum amplitude of the next solar cycle is predicted to be about 112 in 2011-2012.