Pandas groupby ewm

python pandas time-series pandas-groupby rolling-computation

Let's fix the problem, using transform:

t['ewm'] = ts.groupby(['C1'])['X1'].transform(lambda x: x.ewm(halflife=10).mean()).values()

python pandas time-series pandas-groupby rolling-computation

Can you try this?Do NOT set ts = df.set_index('T'). Then you can do as below

ts['ewm']=ts.groupby(['C1'], sort=False).apply(lambda x: x['X1'].ewm(halflife=10).mean()).reset_index(drop=True)

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