BUG: rolling.corr with MultiIndex columns #43261
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mroeschke
commented
Aug 27, 2021
mroeschke
commented
- closes Rolling correlation for DataFrame with MultiIndex columns broken in Pandas 0.23 #21157
- tests added / passed
- Ensure all linting tests pass, see here for how to run them
- whatsnew entry
jreback
requested changes
Aug 31, 2021
pandas/core/window/common.py
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| arg2.columns = cast(MultiIndex, arg2.columns) | ||
| result.index = MultiIndex.from_product( | ||
| arg2.columns.levels + [result_index] | ||
| # GH 21157 |
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thi s is really confusing. you are matching the codes from the original? can you reindex?
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I'll add comment to what's going on here, but unfortunately can't reindex here.
This needs to act like a MultiIndex.product, but instead of taking the product of all original levels + result level independently, the original levels need too be treated like a group first before taking a product
jreback
requested changes
Sep 6, 2021
jreback
approved these changes
Sep 6, 2021
feefladder
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Sep 7, 2021
* BUG: rolling.corr with MultiIndex columns * Add commentary of fix * Trigger CI * Use from_arrays * Consider reordering
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