The pandas pivot tables documentation seems to recomend dealing with more than two dimensions of data by using multiindexing:
In [1]: import pandas as pd
In [2]: import numpy as np
In [3]: import pandas.util.testing as tm; tm.N = 3
In [4]: def unpivot(frame):
   ...:         N, K = frame.shape
   ...:         data = {'value' : frame.values.ravel('F'),
   ...:                 'variable' : np.asarray(frame.columns).repeat(N),
   ...:                 'date' : np.tile(np.asarray(frame.index), K)}
   ...:         return pd.DataFrame(data, columns=['date', 'variable', 'value'])
   ...: 
In [5]: df = unpivot(tm.makeTimeDataFrame())
In [6]: df
Out[6]: 
         date variable     value    value2
0  2000-01-03        A  0.462461  0.924921
1  2000-01-04        A -0.517911 -1.035823
2  2000-01-05        A  0.831014  1.662027
3  2000-01-03        B -0.492679 -0.985358
4  2000-01-04        B -1.234068 -2.468135
5  2000-01-05        B  1.725218  3.450437
6  2000-01-03        C  0.453859  0.907718
7  2000-01-04        C -0.763706 -1.527412
8  2000-01-05        C  0.839706  1.679413
9  2000-01-03        D -0.048108 -0.096216
10 2000-01-04        D  0.184461  0.368922
11 2000-01-05        D -0.349496 -0.698993
In [7]: df['value2'] = df['value'] * 2
In [8]: df.pivot('date', 'variable')
Out[8]: 
               value                                  value2            \
variable           A         B         C         D         A         B   
date                                                                     
2000-01-03 -1.558856 -1.144732 -0.234630 -1.252482 -3.117712 -2.289463   
2000-01-04 -1.351152 -0.173595  0.470253 -1.181006 -2.702304 -0.347191   
2000-01-05  0.151067 -0.402517 -2.625085  1.275430  0.302135 -0.805035   
variable           C         D  
date                            
2000-01-03 -0.469259 -2.504964  
2000-01-04  0.940506 -2.362012  
2000-01-05 -5.250171  2.550861  
I thought that xarray was made for handling multidimensional datasets like this:
In [9]: import xarray as xr
In [10]: xr.DataArray(dict([(var, df[df.variable==var].drop('variable', 1)) for var in np.unique(df.variable)]))
Out[10]: 
<xarray.DataArray ()>
array({'A':         date     value    value2
0 2000-01-03  0.462461  0.924921
1 2000-01-04 -0.517911 -1.035823
2 2000-01-05  0.831014  1.662027, 'C':         date     value    value2
6 2000-01-03  0.453859  0.907718
7 2000-01-04 -0.763706 -1.527412
8 2000-01-05  0.839706  1.679413, 'B':         date     value    value2
3 2000-01-03 -0.492679 -0.985358
4 2000-01-04 -1.234068 -2.468135
5 2000-01-05  1.725218  3.450437, 'D':          date     value    value2
9  2000-01-03 -0.048108 -0.096216
10 2000-01-04  0.184461  0.368922
11 2000-01-05 -0.349496 -0.698993}, dtype=object)
Is one of these approaches better than the other? Why hasn't xarray completely replaced multiindexing?
 
     
    