In this paper, a novel method for long-term data segmentation in the context of machine health prognosis is presented. The purpose of the method is to find borders between three data segments. It is assumed that each segment contains the data that represent different statistical properties, that is, a different model. It is proposed to use a moving window approach, statistical parametrization of the data in the window, and simple clustering techniques. Moreover, it is found that features are highly correlated, so principal component analysis is exploited. We find that the probability density function of the first principal component may be sufficient to find borders between classes. We consider two cases of data distributions, Gaussian and α-stable, belonging to the class of non-Gaussian heavy-tailed distributions. It is shown that for random components with Gaussian distribution, the proposed methodology is very effective, while for the non-Gaussian case, both features and the concept of moving window should be re-considered. Finally, the procedure is tested for real data sets. The results provided here may be helpful in understanding some specific cases of machine health prognosis in the presence of non-Gaussian noise. The proposed approach is model free, and thus it is universal. The methodology can be applied for any long-term data where segmentation is crucial for the data processing.