I want to implement a rolling WLS regression such that more recent data points are weighted more heavily than older ones. Pandas has the very convenient EWM object for exponentially-weighted aggregations, but to my knowledge the API only supports accessing the final aggregations. I would like to extract the actual weights matrix that multiplies the original dataframe to create the EWM dataframe, which I can then use to pass weights to some WLS software. If this is impossible, if someone could help me to manually write the function for generating such a matrix it would be much appreciated (I would almost exclusively be using the span parameter to generate weights, if that helps).
How to recreate or extract weights table from Pandas EWM function
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