Fix ewm times, decay validation

Author: mroeschke

doc/source/whatsnew/v1.5.0.rst

@@ -736,6 +736,7 @@ Groupby/resample/rolling
 - Bug in :meth:`.Rolling.var` would segfault calculating weighted variance when window size was larger than data size (:issue:`46760`)
 - Bug in :meth:`Grouper.__repr__` where ``dropna`` was not included. Now it is (:issue:`46754`)
 - Bug in :meth:`DataFrame.rolling` gives ValueError when center=True, axis=1 and win_type is specified (:issue:`46135`)
+- Bug in :class:`.ExponentialMovingWindow` where ``alpha``, ``com``, or ``span`` were incorrectly allowed when ``times`` and ``halflife`` were passed (:issue:`47003`)
 
 Reshaping
 ^^^^^^^^^

pandas/core/window/ewm.py

@@ -396,12 +396,10 @@ def __init__(
             if isna(self.times).any():
                 raise ValueError("Cannot convert NaT values to integer")
             self._deltas = _calculate_deltas(self.times, self.halflife)
-            # Halflife is no longer applicable when calculating COM
-            # But allow COM to still be calculated if the user passes other decay args
-            if common.count_not_none(self.com, self.span, self.alpha) > 0:
-                self._com = get_center_of_mass(self.com, self.span, None, self.alpha)
-            else:
-                self._com = 1.0
+            # GH 47003
+            # get_center_of_mass will validate and raise if the user has also
+            # passed in com, span or alpha (1.0 is a placeholder value)
+            self._com = get_center_of_mass(self.com, self.span, 1.0, self.alpha)
         else:
             if self.halflife is not None and isinstance(
                 self.halflife, (str, datetime.timedelta)

pandas/tests/window/test_ewm.py

@@ -666,3 +666,11 @@ def test_ewm_pairwise_cov_corr(func, frame):
     result.index = result.index.droplevel(1)
     expected = getattr(frame[1].ewm(span=10, min_periods=5), func)(frame[5])
     tm.assert_series_equal(result, expected, check_names=False)
+
+
+@pytest.mark.parametrize("decay", ["alpha", "com", "span"])
+def test_validate_times_halflife_with_other_decay(decay):
+    ser = Series([1, 2])
+    msg = "comass, span, halflife, and alpha are mutually exclusive"
+    with pytest.raises(ValueError, match=msg):
+        ser.ewm(**{decay: 1}, halflife="1 Day", times=DatetimeIndex(["2021", "2022"]))