How can I construct a multi-index in pandas for an example dataframe of:

```
import pandas as pd
df = pd.DataFrame({'day':['2020-01-01', '2020-01-02'], 'value_mean':[1,5], 'value_max':[40,100]})

```

Transform the existing:

```
          day  value_mean  value_max
0  2020-01-01           1         40
1  2020-01-02           5        100

```

To something like:

```
                            value
          day         mean        max
0  2020-01-01           1         40
1  2020-01-02           5        100

```