series = pandas.Series([1., numpy.NaN, numpy.NaN, 1.], index=pandas.DatetimeIndex(start='2000-01-01', periods=4, freq='T')) pandas.ewma(series, com=5) 2000-01-01 00:00:00 1.000000 2000-01-01 00:01:00 0.545455 2000-01-01 00:02:00 0.545455 2000-01-01 00:03:00 1.000000 Almost right - but clearly the adjust factor is ticked in the wrong spot.