How to fill nan values with rolling mean in pandas

rolling_mean function has been modified in pandas. If you fill the entire dataset, you can use;

filled_dataset = dataset.fillna(dataset.rolling(6,min_periods=1).mean())

This should work:

input_data_frame[var_list]= input_data_frame[var_list].fillna(pd.rolling_mean(input_data_frame[var_list], 6, min_periods=1))

Note that the window is 6 because it includes the value of NaN itself (which is not counted in the average). Also the other NaN values are not used for the averages, so if less that 5 values are found in the window, the average is calculated on the actual values.

Example:

df = {'a': [1, 1,2,3,4,5, np.nan, 1, 1, 2, 3, 4, 5, np.nan] }
df = pd.DataFrame(data=df)
print df

      a
0   1.0
1   1.0
2   2.0
3   3.0
4   4.0
5   5.0
6   NaN
7   1.0
8   1.0
9   2.0
10  3.0
11  4.0
12  5.0
13  NaN

Output:

      a
0   1.0
1   1.0
2   2.0
3   3.0
4   4.0
5   5.0
6   3.0
7   1.0
8   1.0
9   2.0
10  3.0
11  4.0
12  5.0
13  3.0