Highly recommend reading about Wim Hof to anyone interested in this topic. He’s been the subject of quite a bit of research.
> A 2014 assessment compared Wim Hof and his identical twin brother. The scientists had them practice Wim's breathing exercises, then exposed them to the lowest temperature that would not induce shivering. They concluded that, "No significant differences were found between the two subjects, indicating that a lifestyle with frequent exposures to extreme cold does not seem to affect BAT activity and CIT (cold-induced thermogenesis)."[28] Both had rises of 40% of their metabolic rates over the resting rate, compared to a maximum of 30% observed in young adults. However, their brown fat percentage—while high for their age—was not enough to account for all of the increase. The rest was due to their vigorous breathing, which increased the metabolic activity in their respiratory muscles.
> One 2018 study of Wim Hof published in the journal NeuroImage used a combination of fMRI and PET/CT imaging, and found: forceful respiration results in increased sympathetic innervation and glucose consumption in intercostal muscle, generating heat that dissipates to lung tissue and warms circulating blood in the pulmonary capillaries. Our results provide compelling evidence for the primacy of the brain (CNS) rather than the body (peripheral mechanisms) in mediating the Iceman's [Wim Hof's] responses to cold exposure.
[1] https://en.m.wikipedia.org/wiki/Wim_Hof