ENH: allow .rolling / .expanding as groupby methods

closes #12738
closes #12486
closes #12363

Author: Jeff Reback <[email protected]>

Closes #12743 from jreback/expand and squashes the following commits:

f98e6f8 [Jeff Reback] ENH: allow .rolling / .expanding as groupby methods

Author: jreback

doc/source/whatsnew/v0.18.1.txt

@@ -18,6 +18,8 @@ Highlights include:
 
 .. _whatsnew_0181.new_features:
 
+- ``.groupby(...)`` has been enhanced to provide convenient syntax when working with ``.rolling(..)``, ``.expanding(..)`` and ``.resample(..)`` per group, see :ref:`here <whatsnew_0181.deferred_ops>`
+
 New features
 ~~~~~~~~~~~~
 
@@ -48,6 +50,55 @@ see :ref:`Custom Business Hour <timeseries.custombusinesshour>` (:issue:`11514`)
 Enhancements
 ~~~~~~~~~~~~
 
+.. _whatsnew_0181.deferred_ops:
+
+``.groupby(..)`` syntax with window and resample operations
+^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
+
+``.groupby(...)`` has been enhanced to provide convenient syntax when working with ``.rolling(..)``, ``.expanding(..)`` and ``.resample(..)`` per group, see (:issue:`12486`, :issue:`12738`).
+
+You can now use ``.rolling(..)`` and ``.expanding(..)`` as methods on groupbys. These return another deferred object (similar to what ``.rolling()`` and ``.expanding()`` do on ungrouped pandas objects). You can then operate on these ``RollingGroupby`` objects in a similar manner.
+
+Previously you would have to do this to get a rolling window mean per-group:
+
+.. ipython:: python
+
+   df = pd.DataFrame({'A': [1] * 20 + [2] * 12 + [3] * 8,
+                      'B': np.arange(40)})
+   df
+
+.. ipython:: python
+
+   df.groupby('A').apply(lambda x: x.rolling(4).B.mean())
+
+Now you can do:
+
+.. ipython:: python
+
+   df.groupby('A').rolling(4).B.mean()
+
+For ``.resample(..)`` type of operations, previously you would have to:
+
+.. ipython:: python
+
+   df = pd.DataFrame({'date': pd.date_range(start='2016-01-01',
+                                            periods=4,
+                                            freq='W'),
+                      'group': [1, 1, 2, 2],
+                      'val': [5, 6, 7, 8]}).set_index('date')
+
+   df
+
+.. ipython:: python
+
+   df.groupby('group').apply(lambda x: x.resample('1D').ffill())
+
+Now you can do:
+
+.. ipython:: python
+
+   df.groupby('group').resample('1D').ffill()
+
 .. _whatsnew_0181.partial_string_indexing:
 
 Partial string indexing on ``DateTimeIndex`` when part of a ``MultiIndex``
@@ -374,6 +425,9 @@ Bug Fixes
 - Bug in ``pd.crosstab()`` where would silently ignore ``aggfunc`` if ``values=None`` (:issue:`12569`).
 
 
+- Bug in consistency of ``.name`` on ``.groupby(..).apply(..)`` cases (:issue:`12363`)
+
+
 - Bug in ``Timestamp.__repr__`` that caused ``pprint`` to fail in nested structures (:issue:`12622`)
 - Bug in ``Timedelta.min`` and ``Timedelta.max``, the properties now report the true minimum/maximum ``timedeltas`` as recognized by Pandas. See :ref:`documentation <timedeltas.limitations>`. (:issue:`12727`)
 - Bug in ``.quantile()`` with interpolation may coerce to ``float`` unexpectedly (:issue:`12772`)

pandas/core/base.py

@@ -613,6 +613,19 @@ def _aggregate_multiple_funcs(self, arg, _level):
 
         return concat(results, keys=keys, axis=1)
 
+    def _shallow_copy(self, obj=None, obj_type=None, **kwargs):
+        """ return a new object with the replacement attributes """
+        if obj is None:
+            obj = self._selected_obj.copy()
+        if obj_type is None:
+            obj_type = self._constructor
+        if isinstance(obj, obj_type):
+            obj = obj.obj
+        for attr in self._attributes:
+            if attr not in kwargs:
+                kwargs[attr] = getattr(self, attr)
+        return obj_type(obj, **kwargs)
+
     def _is_cython_func(self, arg):
         """ if we define an internal function for this argument, return it """
         return self._cython_table.get(arg)
@@ -625,6 +638,53 @@ def _is_builtin_func(self, arg):
         return self._builtin_table.get(arg, arg)
 
 
+class GroupByMixin(object):
+    """ provide the groupby facilities to the mixed object """
+
+    @staticmethod
+    def _dispatch(name, *args, **kwargs):
+        """ dispatch to apply """
+        def outer(self, *args, **kwargs):
+            def f(x):
+                x = self._shallow_copy(x, groupby=self._groupby)
+                return getattr(x, name)(*args, **kwargs)
+            return self._groupby.apply(f)
+        outer.__name__ = name
+        return outer
+
+    def _gotitem(self, key, ndim, subset=None):
+        """
+        sub-classes to define
+        return a sliced object
+
+        Parameters
+        ----------
+        key : string / list of selections
+        ndim : 1,2
+            requested ndim of result
+        subset : object, default None
+            subset to act on
+        """
+
+        # create a new object to prevent aliasing
+        if subset is None:
+            subset = self.obj
+
+        # we need to make a shallow copy of ourselves
+        # with the same groupby
+        kwargs = dict([(attr, getattr(self, attr))
+                       for attr in self._attributes])
+        self = self.__class__(subset,
+                              groupby=self._groupby[key],
+                              parent=self,
+                              **kwargs)
+        self._reset_cache()
+        if subset.ndim == 2:
+            if lib.isscalar(key) and key in subset or com.is_list_like(key):
+                self._selection = key
+        return self
+
+
 class FrozenList(PandasObject, list):
 
     """

pandas/core/generic.py

@@ -3711,7 +3711,7 @@ def clip_lower(self, threshold, axis=None):
         return self.where(subset, threshold, axis=axis)
 
     def groupby(self, by=None, axis=0, level=None, as_index=True, sort=True,
-                group_keys=True, squeeze=False):
+                group_keys=True, squeeze=False, **kwargs):
         """
         Group series using mapper (dict or key function, apply given function
         to group, return result as series) or by a series of columns.
@@ -3763,7 +3763,8 @@ def groupby(self, by=None, axis=0, level=None, as_index=True, sort=True,
             raise TypeError("You have to supply one of 'by' and 'level'")
         axis = self._get_axis_number(axis)
         return groupby(self, by=by, axis=axis, level=level, as_index=as_index,
-                       sort=sort, group_keys=group_keys, squeeze=squeeze)
+                       sort=sort, group_keys=group_keys, squeeze=squeeze,
+                       **kwargs)
 
     def asfreq(self, freq, method=None, how=None, normalize=False):
         """