I don't know what exponential weighted covariance is, but I've had pretty good luck converting time series-based analyses from pandas to polars (for patient presentations to my emergency department -- patients per hour, per day, per shift, etc.). Resample has a direct (and easier IMO) replacement in polars, and there is group_by_dynamic.

I've had trouble determining whether one timestamp falls between two others across tens of thousands of rows (with the polars team suggesting I use a massive cross product and filter -- which worked but excludes the memory requirement), whereas in pandas I was able to sort the timestamps and thereby only need to compare against the preceding / following few based on the index of the last match.

The other issue I've had with resampling is with polars automatically dropping time periods with zero events, giving me a null instead of zero for the count of events in certain time periods (which then gets dropped from aggregations). This has caught me a few times.

But other than that I've had good luck.