ENH: Raise ValueError for unsupported Window functions

doc/source/whatsnew/v0.25.0.rst

@@ -1130,6 +1130,7 @@ 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/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, column on which to calculate
@@ -659,6 +660,26 @@ def validate(self):
         else:
             raise ValueError("Invalid window {0}".format(window))
 
+    def _validate_aggregate(self, arg, *args, **kwargs):
+        # supported weighted window functions
+        valid_ops = ["mean", "sum"]
+
+        def validate_str(op):
+            if op not in valid_ops:
+                raise ValueError(
+                    "{op} function is not supported "
+                    "for weighted windows.".format(op=op)
+                )
+
+        if isinstance(arg, str):
+            validate_str(arg)
+        elif isinstance(arg, (list, tuple, dict)):
+            ops = arg.values() if isinstance(arg, dict) else arg
+
+            for op in ops:
+                if isinstance(op, str):
+                    validate_str(op)
+
     def _prep_window(self, **kwargs):
         """
         Provide validation for our window type, return the window
@@ -815,6 +836,8 @@ def f(arg, *args, **kwargs):
     )
     @Appender(_shared_docs["aggregate"])
     def aggregate(self, arg, *args, **kwargs):
+        self._validate_aggregate(arg)
+
         result, how = self._aggregate(arg, *args, **kwargs)
         if result is None:
 

pandas/tests/test_window.py

@@ -480,6 +480,17 @@ def test_numpy_compat(self, method):
         with pytest.raises(UnsupportedFunctionCall, match=msg):
             getattr(w, method)(dtype=np.float64)
 
+    @pytest.mark.parametrize(
+        "arg", ["std", ["mean", "std"], ("mean", "std"), {"A": "mean", "B": "std"}]
+    )
+    def test_agg_function_support(self, arg):
+        ser = pd.DataFrame({"A": np.arange(5), "B": np.arange(5)})
+        roll = ser.rolling(2, win_type="triang")
+
+        msg = "std function is not supported for weighted windows."
+        with pytest.raises(ValueError, match=msg):
+            roll.agg(arg)
+
 
 class TestRolling(Base):
     def setup_method(self, method):