BUG: support skew function for custom BaseIndexer rolling windows (#33745)

Author: AlexKirko

doc/source/user_guide/computation.rst

@@ -318,8 +318,8 @@ We provide a number of common statistical functions:
     :meth:`~Rolling.kurt`, Sample kurtosis (4th moment)
     :meth:`~Rolling.quantile`, Sample quantile (value at %)
     :meth:`~Rolling.apply`, Generic apply
-    :meth:`~Rolling.cov`, Unbiased covariance (binary)
-    :meth:`~Rolling.corr`, Correlation (binary)
+    :meth:`~Rolling.cov`, Sample covariance (binary)
+    :meth:`~Rolling.corr`, Sample correlation (binary)
 
 .. _computation.window_variance.caveats:
 
@@ -341,6 +341,8 @@ We provide a number of common statistical functions:
    sample variance under the circumstances would result in a biased estimator
    of the variable we are trying to determine.
 
+   The same caveats apply to using any supported statistical sample methods.
+
 .. _stats.rolling_apply:
 
 Rolling apply
@@ -870,12 +872,12 @@ Method summary
     :meth:`~Expanding.max`, Maximum
     :meth:`~Expanding.std`, Sample standard deviation
     :meth:`~Expanding.var`, Sample variance
-    :meth:`~Expanding.skew`, Unbiased skewness (3rd moment)
-    :meth:`~Expanding.kurt`, Unbiased kurtosis (4th moment)
+    :meth:`~Expanding.skew`, Sample skewness (3rd moment)
+    :meth:`~Expanding.kurt`, Sample kurtosis (4th moment)
     :meth:`~Expanding.quantile`, Sample quantile (value at %)
     :meth:`~Expanding.apply`, Generic apply
-    :meth:`~Expanding.cov`, Unbiased covariance (binary)
-    :meth:`~Expanding.corr`, Correlation (binary)
+    :meth:`~Expanding.cov`, Sample covariance (binary)
+    :meth:`~Expanding.corr`, Sample correlation (binary)
 
 .. note::
 
@@ -884,6 +886,8 @@ Method summary
    windows. See :ref:`this section <computation.window_variance.caveats>` for more
    information.
 
+   The same caveats apply to using any supported statistical sample methods.
+
 .. currentmodule:: pandas
 
 Aside from not having a ``window`` parameter, these functions have the same

doc/source/whatsnew/v1.1.0.rst

@@ -175,8 +175,8 @@ Other API changes
 - Added :meth:`DataFrame.value_counts` (:issue:`5377`)
 - :meth:`Groupby.groups` now returns an abbreviated representation when called on large dataframes (:issue:`1135`)
 - ``loc`` lookups with an object-dtype :class:`Index` and an integer key will now raise ``KeyError`` instead of ``TypeError`` when key is missing (:issue:`31905`)
-- Using a :func:`pandas.api.indexers.BaseIndexer` with ``skew``, ``cov``, ``corr`` will now raise a ``NotImplementedError`` (:issue:`32865`)
-- Using a :func:`pandas.api.indexers.BaseIndexer` with ``count``, ``min``, ``max``, ``median`` will now return correct results for any monotonic :func:`pandas.api.indexers.BaseIndexer` descendant (:issue:`32865`)
+- Using a :func:`pandas.api.indexers.BaseIndexer` with ``cov``, ``corr`` will now raise a ``NotImplementedError`` (:issue:`32865`)
+- Using a :func:`pandas.api.indexers.BaseIndexer` with ``count``, ``min``, ``max``, ``median``, ``skew`` will now return correct results for any monotonic :func:`pandas.api.indexers.BaseIndexer` descendant (:issue:`32865`)
 - Added a :func:`pandas.api.indexers.FixedForwardWindowIndexer` class to support forward-looking windows during ``rolling`` operations.
 -
 

pandas/core/window/common.py

@@ -337,6 +337,7 @@ def validate_baseindexer_support(func_name: Optional[str]) -> None:
         "median",
         "std",
         "var",
+        "skew",
         "kurt",
         "quantile",
     }

pandas/core/window/rolling.py

@@ -472,13 +472,13 @@ def _apply(
 
                 def calc(x):
                     x = np.concatenate((x, additional_nans))
-                    if not isinstance(window, BaseIndexer):
+                    if not isinstance(self.window, BaseIndexer):
                         min_periods = calculate_min_periods(
                             window, self.min_periods, len(x), require_min_periods, floor
                         )
                     else:
                         min_periods = calculate_min_periods(
-                            self.min_periods or 1,
+                            window_indexer.window_size,
                             self.min_periods,
                             len(x),
                             require_min_periods,

pandas/tests/window/test_base_indexer.py

@@ -82,7 +82,7 @@ def get_window_bounds(self, num_values, min_periods, center, closed):
         df.rolling(indexer, win_type="boxcar")
 
 
-@pytest.mark.parametrize("func", ["skew", "cov", "corr"])
+@pytest.mark.parametrize("func", ["cov", "corr"])
 def test_notimplemented_functions(func):
     # GH 32865
     class CustomIndexer(BaseIndexer):
@@ -184,3 +184,29 @@ def test_rolling_forward_window(constructor, func, np_func, expected, np_kwargs)
     result3 = getattr(rolling3, func)()
     expected3 = constructor(rolling3.apply(lambda x: np_func(x, **np_kwargs)))
     tm.assert_equal(result3, expected3)
+
+
+@pytest.mark.parametrize("constructor", [Series, DataFrame])
+def test_rolling_forward_skewness(constructor):
+    values = np.arange(10)
+    values[5] = 100.0
+
+    indexer = FixedForwardWindowIndexer(window_size=5)
+    rolling = constructor(values).rolling(window=indexer, min_periods=3)
+    result = rolling.skew()
+
+    expected = constructor(
+        [
+            0.0,
+            2.232396,
+            2.229508,
+            2.228340,
+            2.229091,
+            2.231989,
+            0.0,
+            0.0,
+            np.nan,
+            np.nan,
+        ]
+    )
+    tm.assert_equal(result, expected)