BUG: various groupby ewm times issues

doc/source/whatsnew/v1.3.0.rst

@@ -792,6 +792,9 @@ Groupby/resample/rolling
 - Bug in :class:`core.window.RollingGroupby` where ``as_index=False`` argument in ``groupby`` was ignored (:issue:`39433`)
 - Bug in :meth:`.GroupBy.any` and :meth:`.GroupBy.all` raising ``ValueError`` when using with nullable type columns holding ``NA`` even with ``skipna=True`` (:issue:`40585`)
 - Bug in :meth:`GroupBy.cummin` and :meth:`GroupBy.cummax` incorrectly rounding integer values near the ``int64`` implementations bounds (:issue:`40767`)
+- Bug in :meth:`core.window.ewm.ExponentialMovingWindowGroupby.mean` where the times argument was ignored in the numba implementation (:issue:`40951`)
+- Bug in :meth:`core.window.ewm.ExponentialMovingWindowGroupby.mean` where the wrong times were used in the cython implementation in case of multiple groups (:issue:`40951`)
+- Bug in :class:`core.window.ewm.ExponentialMovingWindowGroupby` where the times vector and values became out of sync for non-trivial groups (:issue:`40951`)
 
 Reshaping
 ^^^^^^^^^

pandas/_libs/window/aggregations.pyx

@@ -1495,7 +1495,7 @@ def ewma(const float64_t[:] vals, const int64_t[:] start, const int64_t[:] end,
 
     cdef:
         Py_ssize_t i, j, s, e, nobs, win_size, N = len(vals), M = len(start)
-        const float64_t[:] sub_vals
+        const float64_t[:] sub_deltas, sub_vals
         ndarray[float64_t] sub_output, output = np.empty(N, dtype=float)
         float64_t alpha, old_wt_factor, new_wt, weighted_avg, old_wt, cur
         bint is_observation
@@ -1511,6 +1511,7 @@ def ewma(const float64_t[:] vals, const int64_t[:] start, const int64_t[:] end,
         s = start[j]
         e = end[j]
         sub_vals = vals[s:e]
+        sub_deltas = deltas[s:e - 1]
         win_size = len(sub_vals)
         sub_output = np.empty(win_size, dtype=float)
 
@@ -1528,7 +1529,7 @@ def ewma(const float64_t[:] vals, const int64_t[:] start, const int64_t[:] end,
                 if weighted_avg == weighted_avg:
 
                     if is_observation or not ignore_na:
-                        old_wt *= old_wt_factor ** deltas[i - 1]
+                        old_wt *= old_wt_factor ** sub_deltas[i - 1]
                         if is_observation:
 
                             # avoid numerical errors on constant series

pandas/core/window/ewm.py

@@ -268,15 +268,7 @@ def __init__(
                 )
             if isna(self.times).any():
                 raise ValueError("Cannot convert NaT values to integer")
-            # error: Item "str" of "Union[str, ndarray, FrameOrSeries, None]" has no
-            # attribute "view"
-            # error: Item "None" of "Union[str, ndarray, FrameOrSeries, None]" has no
-            # attribute "view"
-            _times = np.asarray(
-                self.times.view(np.int64), dtype=np.float64  # type: ignore[union-attr]
-            )
-            _halflife = float(Timedelta(self.halflife).value)
-            self._deltas = np.diff(_times) / _halflife
+            self._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:
@@ -303,6 +295,21 @@ def __init__(
                 self.alpha,
             )
 
+    def _calculate_deltas(
+        self,
+        times: str | np.ndarray | FrameOrSeries | None,
+        halflife: float | TimedeltaConvertibleTypes | None,
+    ) -> None:
+        # error: Item "str" of "Union[str, ndarray, FrameOrSeries, None]" has no
+        # attribute "view"
+        # error: Item "None" of "Union[str, ndarray, FrameOrSeries, None]" has no
+        # attribute "view"
+        _times = np.asarray(
+            times.view(np.int64), dtype=np.float64  # type: ignore[union-attr]
+        )
+        _halflife = float(Timedelta(halflife).value)
+        self._deltas = np.diff(_times) / _halflife
+
     def _get_window_indexer(self) -> BaseIndexer:
         """
         Return an indexer class that will compute the window start and end bounds
@@ -585,6 +592,17 @@ class ExponentialMovingWindowGroupby(BaseWindowGroupby, ExponentialMovingWindow)
 
     _attributes = ExponentialMovingWindow._attributes + BaseWindowGroupby._attributes
 
+    def __init__(self, obj, *args, _grouper=None, **kwargs):
+        super().__init__(obj, *args, _grouper=_grouper, **kwargs)
+
+        if not obj.empty and self.times is not None:
+            # sort the times and recalculate the deltas according to the groups
+            groupby_order = np.concatenate(list(self._grouper.indices.values()))
+            self._calculate_deltas(
+                self.times.take(groupby_order),  # type: ignore[union-attr]
+                self.halflife,
+            )
+
     def _get_window_indexer(self) -> GroupbyIndexer:
         """
         Return an indexer class that will compute the window start and end bounds
@@ -628,10 +646,7 @@ def mean(self, engine=None, engine_kwargs=None):
         """
         if maybe_use_numba(engine):
             groupby_ewma_func = generate_numba_groupby_ewma_func(
-                engine_kwargs,
-                self._com,
-                self.adjust,
-                self.ignore_na,
+                engine_kwargs, self._com, self.adjust, self.ignore_na, self._deltas
             )
             return self._apply(
                 groupby_ewma_func,

pandas/core/window/numba_.py

@@ -85,6 +85,7 @@ def generate_numba_groupby_ewma_func(
     com: float,
     adjust: bool,
     ignore_na: bool,
+    deltas: np.ndarray,
 ):
     """
     Generate a numba jitted groupby ewma function specified by values
@@ -141,7 +142,7 @@ def groupby_ewma(
 
                     if is_observation or not ignore_na:
 
-                        old_wt *= old_wt_factor
+                        old_wt *= old_wt_factor ** deltas[start + j - 1]
                         if is_observation:
 
                             # avoid numerical errors on constant series

pandas/tests/window/conftest.py

@@ -13,6 +13,7 @@
     Series,
     bdate_range,
     notna,
+    to_datetime,
 )
 
 
@@ -302,6 +303,31 @@ def frame():
     )
 
 
+@pytest.fixture
+def times_frame():
+    """Frame for testing times argument in EWM groupby."""
+    return DataFrame(
+        {
+            "A": ["a", "b", "c", "a", "b", "c", "a", "b", "c", "a"],
+            "B": [0, 0, 0, 1, 1, 1, 2, 2, 2, 3],
+            "C": to_datetime(
+                [
+                    "2020-01-01",
+                    "2020-01-01",
+                    "2020-01-01",
+                    "2020-01-02",
+                    "2020-01-10",
+                    "2020-01-22",
+                    "2020-01-03",
+                    "2020-01-23",
+                    "2020-01-23",
+                    "2020-01-04",
+                ]
+            ),
+        }
+    )
+
+
 @pytest.fixture
 def series():
     """Make mocked series as fixture."""

pandas/tests/window/test_groupby.py

@@ -926,3 +926,63 @@ def test_pairwise_methods(self, method, expected_data):
 
         expected = df.groupby("A").apply(lambda x: getattr(x.ewm(com=1.0), method)())
         tm.assert_frame_equal(result, expected)
+
+    def test_times(self, times_frame):
+        # GH 40951
+        halflife = "23 days"
+        result = times_frame.groupby("A").ewm(halflife=halflife, times="C").mean()
+        expected = DataFrame(
+            {
+                "B": [
+                    0.0,
+                    0.507534,
+                    1.020088,
+                    1.537661,
+                    0.0,
+                    0.567395,
+                    1.221209,
+                    0.0,
+                    0.653141,
+                    1.195003,
+                ]
+            },
+            index=MultiIndex.from_tuples(
+                [
+                    ("a", 0),
+                    ("a", 3),
+                    ("a", 6),
+                    ("a", 9),
+                    ("b", 1),
+                    ("b", 4),
+                    ("b", 7),
+                    ("c", 2),
+                    ("c", 5),
+                    ("c", 8),
+                ],
+                names=["A", None],
+            ),
+        )
+        tm.assert_frame_equal(result, expected)
+
+    def test_times_vs_apply(self, times_frame):
+        # GH 40951
+        halflife = "23 days"
+        result = times_frame.groupby("A").ewm(halflife=halflife, times="C").mean()
+        expected = (
+            times_frame.groupby("A")
+            .apply(lambda x: x.ewm(halflife=halflife, times="C").mean())
+            .iloc[[0, 3, 6, 9, 1, 4, 7, 2, 5, 8]]
+            .reset_index(drop=True)
+        )
+        tm.assert_frame_equal(result.reset_index(drop=True), expected)
+
+    def test_times_array(self, times_frame):
+        # GH 40951
+        halflife = "23 days"
+        result = times_frame.groupby("A").ewm(halflife=halflife, times="C").mean()
+        expected = (
+            times_frame.groupby("A")
+            .ewm(halflife=halflife, times=times_frame["C"].values)
+            .mean()
+        )
+        tm.assert_frame_equal(result, expected)

pandas/tests/window/test_numba.py

@@ -8,6 +8,7 @@
     DataFrame,
     Series,
     option_context,
+    to_datetime,
 )
 import pandas._testing as tm
 from pandas.core.util.numba_ import NUMBA_FUNC_CACHE
@@ -145,6 +146,30 @@ def test_cython_vs_numba(self, nogil, parallel, nopython, ignore_na, adjust):
 
         tm.assert_frame_equal(result, expected)
 
+    def test_cython_vs_numba_times(self, nogil, parallel, nopython, ignore_na):
+        # GH 40951
+        halflife = "23 days"
+        times = to_datetime(
+            [
+                "2020-01-01",
+                "2020-01-01",
+                "2020-01-02",
+                "2020-01-10",
+                "2020-02-23",
+                "2020-01-03",
+            ]
+        )
+        df = DataFrame({"A": ["a", "b", "a", "b", "b", "a"], "B": [0, 0, 1, 1, 2, 2]})
+        gb_ewm = df.groupby("A").ewm(
+            halflife=halflife, adjust=True, ignore_na=ignore_na, times=times
+        )
+
+        engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython}
+        result = gb_ewm.mean(engine="numba", engine_kwargs=engine_kwargs)
+        expected = gb_ewm.mean(engine="cython")
+
+        tm.assert_frame_equal(result, expected)
+
 
 @td.skip_if_no("numba", "0.46.0")
 def test_use_global_config():