Rolling correlation for DataFrame with MultiIndex columns broken in Pandas 0.23

[jjbarton]

Code Sample

import numpy as np
import pandas as pd

index = range(5)
data = np.random.random(size=(len(index), 2))

simple_cols = ['M', 'N']
simple_df = pd.DataFrame(data, index=index, columns=simple_cols)

multi_cols = pd.MultiIndex.from_arrays([['M', 'N'], ['P', 'Q']], names=['a', 'b'])
multi_df = pd.DataFrame(data, index=index, columns=multi_cols)

# Works:
simple_df.rolling(3).corr()

# Fails
multi_df.rolling(3).corr()

Problem description

Since the Pandas 0.23 release it is no longer possible to calculate rolling correlation on a pd.DataFrame which has a pd.MultiIndex column index. An exception is raised in 0.23. In 0.22 a valid rolling correlation result is returned.

Expected Output

Pandas should return the same rolling correlation matrix as it returns for a data frame with simple index, but with the multi index levels in columns and index as they appeared in 0.22.

[WillAyd]

Thanks for the report! Investigation and PRs are always welcome

[andyshermanash]

hello, I am also having this same issue in 0.23, which has broken my working code that was previously using 0.22 @jjbarton were you able to solve this issue without reverting back to pandas 0.22?

[jjbarton]

Hi Andy I worked around it in my code (by replacing the multi index with a simple index and then mapping back once I'd calculated rolling correlation. I don't think there's any progress otherwise, and my quick fix isn't a suitable resolution. Cheers Joe

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On Fri, 16 Nov 2018 at 22:16, andyshermanash ***@***.***> wrote: hello, I am also having this same issue in 0.23, which has broken my working code that was previously using 0.22 @jjbarton <https://github.com/jjbarton> were you able to solve this issue without reverting back to pandas 0.22? — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#21157 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AH9yOP_131clHzYWOoKk-TzSS9dAG8gSks5uvzlIgaJpZM4UHhrj> .