ENH: Raise ValueError for unsupported Window functions

doc/source/whatsnew/v0.25.0.rst

@@ -1136,6 +1136,7 @@ Groupby/resample/rolling
 - Bug in :meth:`pandas.core.window.Rolling.median` and :meth:`pandas.core.window.Rolling.quantile` where incorrect results are returned with ``closed='left'`` and ``closed='neither'`` (:issue:`26005`)
 - Improved :class:`pandas.core.window.Rolling`, :class:`pandas.core.window.Window` and :class:`pandas.core.window.EWM` functions to exclude nuisance columns from results instead of raising errors and raise a ``DataError`` only if all columns are nuisance (:issue:`12537`)
 - Bug in :meth:`pandas.core.window.Rolling.max` and :meth:`pandas.core.window.Rolling.min` where incorrect results are returned with an empty variable window (:issue:`26005`)
+- Raise a helpful exception when an unsupported weighted window function is used as an argument of :meth:`pandas.core.window.Window.aggregate` (:issue:`26597`)
 
 Reshaping
 ^^^^^^^^^

pandas/core/base.py

@@ -314,9 +314,16 @@ def _try_aggregate_string_function(self, arg, *args, **kwargs):
 
         f = getattr(np, arg, None)
         if f is not None:
-            return f(self, *args, **kwargs)
+            try:
+                return f(self, *args, **kwargs)
+
+            except (AttributeError, TypeError):
+                raise AttributeError(
+                    "'{arg}' is not a valid function for "
+                    "'{cls}' object".format(arg=arg, cls=type(self).__name__)
+                )
 
-        raise ValueError("{arg} is an unknown string function".format(arg=arg))
+        raise AttributeError("'{arg}' is an unknown string function".format(arg=arg))
 
     def _aggregate(self, arg, *args, **kwargs):
         """
@@ -555,6 +562,7 @@ def is_any_frame():
         elif is_list_like(arg):
             # we require a list, but not an 'str'
             return self._aggregate_multiple_funcs(arg, _level=_level, _axis=_axis), None
+
         else:
             result = None
 

pandas/core/window.py

@@ -511,6 +511,7 @@ class Window(_Window):
         Set the labels at the center of the window.
     win_type : str, default None
         Provide a window type. If ``None``, all points are evenly weighted.
+        Other types are only applicable for `mean` and `sum` functions.
         See the notes below for further information.
     on : str, optional
         For a DataFrame, a datetime-like column on which to calculate the rolling

pandas/tests/window/test_window.py

@@ -439,6 +439,22 @@ def test_numpy_compat(self, method):
         with pytest.raises(UnsupportedFunctionCall, match=msg):
             getattr(w, method)(dtype=np.float64)
 
+    @td.skip_if_no_scipy
+    @pytest.mark.parametrize("arg", ["median", "var", "std"])
+    def test_agg_function_support(self, arg):
+        df = pd.DataFrame({"A": np.arange(5)})
+        roll = df.rolling(2, win_type="triang")
+
+        msg = "'{arg}' is not a valid function for " "'Window' object".format(arg=arg)
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg(arg)
+
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg([arg])
+
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg({"A": arg})
+
 
 class TestRolling(Base):
     def setup_method(self, method):
@@ -921,6 +937,20 @@ def test_numpy_compat(self, method):
         with pytest.raises(UnsupportedFunctionCall, match=msg):
             getattr(e, method)(dtype=np.float64)
 
+    def test_agg_unknown(self):
+        df = pd.DataFrame({"A": np.arange(5)})
+        roll = df.rolling(2)
+
+        msg = "'foo' is an unknown string function"
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg("foo")
+
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg(["foo"])
+
+        with pytest.raises(AttributeError, match=msg):
+            roll.agg({"A": "foo"})
+
 
 @pytest.mark.filterwarnings("ignore:can't resolve package:ImportWarning")
 class TestMoments(Base):