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These parameters summarize recovery behavior and tail heaviness and are useful for interpreting stochastic signals in sensing applications. The method is trained on synthetic, dimensionless Ornstein\u2013Uhlenbeck processes with \u03b1-stable noise, ensuring robustness for non-Gaussian and heavy-tailed inputs. Gradient-boosted tree models (CatBoost) map window-level statistical features to discrete \u03b1 and \u03b8 categories with high accuracy and predominantly adjacent-class confusion. Using the same trained models, we analyze daily financial returns, daily sunspot numbers, and NASA POWER climate fields for Austria. The method detects changes in local dynamics, including shifts in the financial tail structure after 2010, weaker and more irregular solar cycles after 2005, and a redistribution in clear-sky shortwave irradiance around 2000. Because it relies only on short windows and requires no domain-specific tuning, the framework provides a compact diagnostic tool for signal processing, supporting the characterization of local variability, detection of regime changes, and decision making in settings where long-term stationarity is not guaranteed.<\/jats:p>","DOI":"10.3390\/s26041263","type":"journal-article","created":{"date-parts":[[2026,2,16]],"date-time":"2026-02-16T08:38:39Z","timestamp":1771231119000},"page":"1263","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Mean Reversion and Heavy Tails: Characterizing Time-Series Data Using Ornstein\u2013Uhlenbeck Processes and Machine Learning"],"prefix":"10.3390","volume":"26","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2206-9263","authenticated-orcid":false,"given":"Sebastian","family":"Raubitzek","sequence":"first","affiliation":[{"name":"Complexity and Resilience Research Group, SBA Research gGmbH, Floragasse 7\/5.OG, 1040 Vienna, Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2115-2022","authenticated-orcid":false,"given":"Sebastian","family":"Schrittwieser","sequence":"additional","affiliation":[{"name":"Christian Doppler Laboratory for Assurance and Transparency in Software Protection, Faculty of Computer Science, University of Vienna, Kolingasse 14-16, 1090 Vienna, Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-7337-0914","authenticated-orcid":false,"given":"Georg","family":"Goldenits","sequence":"additional","affiliation":[{"name":"Complexity and Resilience Research Group, SBA Research gGmbH, Floragasse 7\/5.OG, 1040 Vienna, Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0006-7645-2099","authenticated-orcid":false,"given":"Alexander","family":"Schatten","sequence":"additional","affiliation":[{"name":"Complexity and Resilience Research Group, SBA Research gGmbH, Floragasse 7\/5.OG, 1040 Vienna, Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3031-505X","authenticated-orcid":false,"given":"Kevin","family":"Mallinger","sequence":"additional","affiliation":[{"name":"Complexity and Resilience Research Group, SBA Research gGmbH, Floragasse 7\/5.OG, 1040 Vienna, Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"1968","published-online":{"date-parts":[[2026,2,14]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"823","DOI":"10.1103\/PhysRev.36.823","article-title":"On the Theory of the Brownian Motion","volume":"36","author":"Uhlenbeck","year":"1930","journal-title":"Phys. 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