pydata/pandas — pull request #4950 by snth (2013-09-23 12:23:36+00:00)
Title: Pairwise versions for rolling_cov, ewmcov and expanding_cov

I added the functions rolling_cov_pairwise(), expanding_cov_pairwise() and ewmcov_pairwise(). I also modified the behaviour of rolling_corr_pairwise(), expanding_corr_pairwise() and ewmcorr_pairwise() slightly so that now these can be computed between different DataFrames and the resulting matrices at each time slice will be rectangular rather than square.

I think this is what was asked for in the original discussion that gave rise to issue #1853.

Fixes #1853