Link to SO question, which provides some input data, as requested by commentators.

import pandas as pd
from random import seed
from random import randint
from collections import OrderedDict

# DataFrame
ts_1h = pd.date_range(start='2020-01-01 00:00+00:00', end='2020-01-02 00:00+00:00', freq='1h')
seed(1)
values = [randint(0,10) for ts in ts_1h]
df = pd.DataFrame({'Values' : values}, index=ts_1h)

# First & last work with resample
resampled_first = df.resample('3H',
                              closed='left',
                              kind='period',
                             ).agg(OrderedDict([('Values', 'first')]))
resampled_last = df.resample('3H',
                             closed='left',
                             kind='period',
                            ).agg(OrderedDict([('Values', 'last')]))

# They don't with rolling
rolling_first = df.rolling(3).agg(OrderedDict([('Values', 'first')]))
rolling_first = df.rolling(3).agg(OrderedDict([('Values', 'last')]))

'take'

I will take this issue

you will?

is this still a relevant feature? @soccerboys2008

It's a good feature for me to get the first/last non-nan element in specific rolling window (with min_periods=1).

What would "first" and "last" mean in the context of a rolling window? i.e. would first refer to the most recent element (it being the most significant element in a way) or the oldest element (going by the index, oldest is first)? Perhaps, to keep it consistent with Groupby, it should be the latter. @mroeschke

What would "first" and "last" mean in the context of a rolling window? i.e. would first refer to the most recent element (it being the most significant element in a way) or the oldest element (going by the index, oldest is first)? Perhaps, to keep it consistent with Groupby, it should be the latter. @mroeschke

In my context, the latter (going by the index, oldest is first).

take