Problem description

Currently the date and time components on a DatetimeIndex return a numpy array. I would propose to let them return a new Index object (and in this way retaining all the interesting added functionality of an Index object).

Related to #14506 that changed Index.map to return an Index instead of an array.

Code Sample

In [14]: ts = pd.Series(range(10), index=pd.date_range('2016-01-01', periods=10)) In [15]: ts Out[15]: 2016-01-01 0 2016-01-02 1 2016-01-03 2 2016-01-04 3 2016-01-05 4 2016-01-06 5 2016-01-07 6 2016-01-08 7 2016-01-09 8 2016-01-10 9 Freq: D, dtype: int64 In [16]: ts.index.dayofweek Out[16]: array([4, 5, 6, 0, 1, 2, 3, 4, 5, 6], dtype=int32) 

When the above would return an index, something that would become possible is this:

ts[ts.index.dayofweek.isin([5,6])] 

which is now not possible as an array has no isin method.

Using pandas master, 0.19.0+289.g1bf94c8