diff --git a/rolling/apply_indexed.py b/rolling/apply_indexed.py
new file mode 100644
index 0000000..e0ff556
--- /dev/null
+++ b/rolling/apply_indexed.py
@@ -0,0 +1,61 @@
+from collections import deque
+
+from .base_indexed import RollingIndexed
+
+class ApplyIndexed(RollingIndexed):
+    """
+    Apply a function to windows over an indexed array
+
+    Parameters
+    ----------
+    
+    index : the object that will serve as index
+    iterable : any iterable object
+    window_size : same type as the index, the maximum size (difference between indices)
+        of the rolling window moving over the iterable
+    function : callable, the function to be applied to the current window of each
+        iterable
+    """
+
+    def __init__(self, index, iterable, window_size, function, window_type="variable"):
+        self._idx_buffer = deque()
+        self._val_buffer = deque()
+        self._function = function
+        super().__init__(index, iterable, window_size, window_type)
+
+    @property
+    def current_value(self):
+        return self._function(self._val_buffer)
+
+    def _init_variable(self, **kwargs):
+        pass
+
+    def _insert(self, idx, val):
+        if self._idx_buffer and self._idx_buffer[0] > idx:
+            raise ValueError("Indices should be monotonic")
+
+        self._idx_buffer.append(idx)
+        self._val_buffer.append(val)
+
+        assert len(self._idx_buffer) == len(self._val_buffer), \
+            "Both buffers should have same length"
+
+    def _evict(self, idx):
+        """ Removes all values whose index is lower or equal than idx
+        """
+        # Keep advancing both iterators until smallest is greater than idx
+        while self._idx_buffer and self._idx_buffer[0] <= idx:
+            self._idx_buffer.popleft()
+            self._val_buffer.popleft()
+
+        assert len(self._idx_buffer) == len(self._val_buffer), \
+            "Both buffers should have same length"
+
+    @property
+    def _obs(self):
+        return self._idx_buffer[-1] - self._idx_buffer[0]
+
+    def __repr__(self):
+        return "ApplyIndexed(operation='{}', window_size={}, window_type='{}')".format(
+            self._function.__name__, self.window_size, self.window_type
+        )
\ No newline at end of file
diff --git a/rolling/arithmetic/nunique_indexed.py b/rolling/arithmetic/nunique_indexed.py
new file mode 100644
index 0000000..3704f98
--- /dev/null
+++ b/rolling/arithmetic/nunique_indexed.py
@@ -0,0 +1,72 @@
+from collections import Counter, deque
+
+from rolling.base_indexed import RollingIndexed
+
+class NuniqueIndexed(RollingIndexed):
+    """
+    Iterator object that counts the number of unique values in a rolling
+    window with an index array
+
+    Parameters
+    ----------
+    
+    index : the object that will serve as index
+    iterable : any iterable object
+    window_size : same type as the index, the maximum size (difference between indices)
+        of the rolling window moving over the iterable
+    
+    Complexity
+    ----------
+    
+    Update time: O(1)
+    Memory usage: O(k)
+    
+    where k is the size of the rolling window (which can potentially be n)
+
+    """
+
+    def __init__(self, index, iterable, window_size, window_type="variable"):
+        self._idx_buffer = deque()
+        self._val_buffer = deque()
+        self._counter = Counter()
+        self._nunique = 0
+        super().__init__(index, iterable, window_size, window_type)
+
+    def _init_variable(self, **kwargs):
+        pass
+
+    def _insert(self, idx, val):
+        if self._idx_buffer and self._idx_buffer[0] > idx:
+            raise ValueError("Indices should be monotonic")
+
+        self._idx_buffer.append(idx)
+        self._val_buffer.append(val)
+        if self._counter[val] == 0:
+            self._nunique += 1
+        self._counter[val] += 1
+
+        assert len(self._idx_buffer) == len(self._val_buffer), \
+            "Both buffers should have same length"
+
+    def _evict(self, idx):
+        """ Removes all values whose index is lower or equal than idx
+        """
+        # Keep advancing both iterators until smallest is greater than idx
+        while self._idx_buffer and self._idx_buffer[0] <= idx:
+            self._idx_buffer.popleft()
+            val = self._val_buffer.popleft()
+
+            self._counter[val] -= 1
+            if self._counter[val] == 0:
+                self._nunique -= 1
+
+        assert len(self._idx_buffer) == len(self._val_buffer), \
+            "Both buffers should have same length"
+
+    @property
+    def current_value(self):
+        return self._nunique
+
+    @property
+    def _obs(self):
+        return self._idx_buffer[-1] - self._idx_buffer[0]
\ No newline at end of file
diff --git a/rolling/base_indexed.py b/rolling/base_indexed.py
new file mode 100644
index 0000000..1746701
--- /dev/null
+++ b/rolling/base_indexed.py
@@ -0,0 +1,90 @@
+import abc
+from collections.abc import Iterator
+
+class RollingIndexed(Iterator):
+    """
+    Baseclass for rolling iterators over _indexed_ or sparse data
+    """
+
+    def __init__(self, index, iterable, window_size, window_type="variable", **kwargs):
+        """Initialize a base rolling indexed class
+
+        Args:
+            index: Must be a monotonic array of the same type that `window_size`,
+                it must support the (-) operator.
+            iterable: Any iterable, must be same length as index
+            window_size: Max difference between the first and last index of the
+                stored elements
+            window_type (str, optional): Defaults to "variable".
+
+        Raises:
+            ValueError: _description_
+        """
+        self.window_type = window_type
+        
+        assert len(index) == len(iterable), \
+            "Index and values should have same size"
+
+        self._iterator_index = iter(index)
+        self._iterator_values = iter(iterable)
+        self.window_size = window_size
+
+        if window_type == "variable":
+            self._init_variable(**kwargs)
+
+        else:
+            raise ValueError(f"Unknown window_type '{window_type}'")
+
+    def _next_variable(self):
+        newidx = next(self._iterator_index)
+        newval = next(self._iterator_values)
+
+        self._insert(newidx, newval)
+        self._evict(newidx - self.window_size)
+            
+        return self.current_value
+
+    def __next__(self):
+        if self.window_type == "variable":
+            return self._next_variable()
+        
+        raise NotImplementedError(f"next() not implemented for {self.window_type}")
+
+    @abc.abstractmethod
+    def _insert(self, idx, val):
+        """ Inserts value into the window with index idx. idx is greater that 
+            all indexes received
+        """
+
+    @abc.abstractmethod
+    def _evict(self, idx):
+        """ Removes all values whose index is lower or equal than idx
+        """
+
+    @property
+    @abc.abstractmethod
+    def current_value(self):
+        """
+        Return the current value of the window
+        """
+        pass
+
+    @abc.abstractmethod
+    def _init_variable(self, **kwargs):
+        """
+        Intialise as a variable-size window
+        """
+        pass
+
+    @property
+    @abc.abstractmethod
+    def _obs(self):
+        """
+        Return the window size
+        """
+        pass
+
+    def __repr__(self):
+        return "RollingIndexed(operation='{}', window_size={}, window_type='{}')".format(
+            self.__class__.__name__, self.window_size, self.window_type
+        )
diff --git a/tests/test_apply_indexed.py b/tests/test_apply_indexed.py
new file mode 100644
index 0000000..8064b09
--- /dev/null
+++ b/tests/test_apply_indexed.py
@@ -0,0 +1,44 @@
+import datetime as dt
+
+import pytest
+
+from rolling.apply_indexed import ApplyIndexed
+
+ARRAY_1 = [1, 2, 3, 4, 5]
+IDX_1 = [0,1,2,4,6]
+
+@pytest.mark.parametrize(
+    "window_size,expected",
+    [
+        (1, ARRAY_1),
+        (2, [1,3,5,4,5]),
+        (3, [1,3,6,7,9]),
+        (4, [1,3,6,9,9]),
+        (5, [1,3,6,10,12]),
+        (6, [1,3,6,10,14]),
+        (7, [1,3,6,10,15]),
+    ],
+)
+def test_rolling_apply_indexed(window_size, expected):
+    r = ApplyIndexed(IDX_1, ARRAY_1, window_size, function=sum)
+    assert list(r) == expected
+
+    # Now with datetime
+    idx_datetime = [dt.datetime(2023, 5, x+1) for x in IDX_1]
+    ws_timedelta = dt.timedelta(days=window_size)
+    r = ApplyIndexed(idx_datetime, ARRAY_1, ws_timedelta, function=sum)
+    assert list(r) == expected
+
+ARRAY_2 = [1,2,3,4,5,6]
+IDX_2 = [0,0,1,2,4,6]
+
+@pytest.mark.parametrize(
+    "window_size,expected",
+    [
+        (1, [1,3,3,4,5,6]),
+        (2, [1,3,6,7,5,6]),
+    ]
+)
+def test_rolling_apply_repeated(window_size, expected):
+    r = ApplyIndexed(IDX_2, ARRAY_2, window_size, function=sum)
+    assert list(r) == expected
diff --git a/tests/test_arithmetic_indexed.py b/tests/test_arithmetic_indexed.py
new file mode 100644
index 0000000..9474ef2
--- /dev/null
+++ b/tests/test_arithmetic_indexed.py
@@ -0,0 +1,35 @@
+import datetime as dt
+
+import pytest
+
+from rolling.apply_indexed import ApplyIndexed
+from rolling.arithmetic.nunique_indexed import NuniqueIndexed
+
+
+@pytest.mark.parametrize("word", ["aabbc", "xooxyzzziiismsdd", "jjjjjj", ""])
+@pytest.mark.parametrize("window_size", [1, 2, 3, 4, 5])
+def test_rolling_nunique(word, window_size):
+    idx = range(len(word))
+    got = NuniqueIndexed(idx, word, window_size)
+    expected = ApplyIndexed(
+        idx, word, window_size, function=lambda x: len(set(x))
+    )
+    assert list(got) == list(expected)
+
+
+@pytest.mark.parametrize("window_size", [1, 2, 3, 4, 5, 6])
+def test_index_date(window_size):
+    idx, val = zip(*[
+        (dt.datetime(2023,5,1), 'Cat1'),
+        (dt.datetime(2023,5,2), 'Cat1'),
+        (dt.datetime(2023,5,2), 'Cat2'),
+        (dt.datetime(2023,5,3), 'Cat3'),
+        (dt.datetime(2023,5,6), 'Cat1'),
+    ])
+
+    ws = dt.timedelta(days=window_size)
+
+    got = NuniqueIndexed(idx, val, ws)
+    expected = ApplyIndexed(idx, val, ws, function=lambda x: len(set(x)))
+
+    assert list(got) == list(expected)
\ No newline at end of file