When you are exposed to cold temperatures, your body starts converting some of your fat tissue into “brown fat.” Brown fat burns fat molecules for heat. Essentially, your baseline metabolism increases and your body is burning more energy just sitting around. Rodents and smaller mammals (including infant humans) tend to have a lot of brown fat to keep themselves warm in the winter. However this is still a newer area of research and not much is definitively known about these processes.
Some more info: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5777285/
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