Pandas interpolation enhancement request : specifying the maximum gap to interpolate.
Currently, Pandas interpolation interpolates all gaps, regardless of there size and the limit parameter is used to limit the number of replacement :  if there is a gap of 3 values and limit=2, pandas replaces the first 2 values. 

I have difficulty understanding why someone would want to do interpolation on only a few missing items in a consecutive series of missing.

Personally, depending on the length of the gap, I would like to decide to interpolate the whole gap or none of it. For example, in an hourly time-series, interpolation of missing hours up to a maximum of 3 consecutive hours:
 gaps <= 3 would be interpolated
 gaps > 3 remain untouched.

I would appreciated a option for interpolation such as R "na.approx" in which a "maxgap" parameters is available. maxgap:  maximum number of consecutive NAs to fill. Any longer gaps will be left unchanged. 
