"There will be an increased policing presence in the area and I would like to reassure the community that we are conducting a thorough investigation.
"My thoughts are very much with the woman's family and friends at this difficult time." It follows a series of unexplained and suspicious deaths across the UK over the festive period.
In Barnsley, a 27-year-old woman has been arrested on suspicion of murder after the body of 30-year-old Stuart Tollan was found on Christmas Day.
Another man, 21-year-old Mohammed Aftab, was found dead on Christmas morning in a country lane in Rochdale after suffering stab wounds and head injuries.
Anyone with information on the incidents is asked to call police on 101 or Crimestoppers anonymously on 0800 555 111.
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It is not known whether the man set fire to himself, or whether it was caused by other means, but police are not looking for anyone else in connection with the death.