[ENH] Improve vectorization performance

sktime/datatypes/_vectorize.py

@@ -285,9 +285,9 @@ def _get_X_at_index(self, row_ind=None, col_ind=None, X=None):
         elif row_ind is None:
             res = X[col_ind]
         else:
-            res = X[col_ind].loc[row_ind]
+            res = X.loc[row_ind, col_ind]
         res = _enforce_index_freq(res)
-        return res
+        return res.copy()
 
     def _get_item_indexer(self, i: int, X=None):
         """Get the i-th indexer from _iter_indices.
@@ -312,7 +312,27 @@ def _get_item_indexer(self, i: int, X=None):
 
     def as_list(self):
         """Shorthand to retrieve self (iterator) as list."""
-        return list(self)
+        if (
+            isinstance(self.X_multiindex.index, pd.MultiIndex)
+            and self.iterate_as == "Series"
+            and not self.iterate_cols
+        ):
+
+            def _convert(series):
+                series = series.droplevel(
+                    list(range(self.X_multiindex.index.nlevels - 1))
+                )
+                series = _enforce_index_freq(series)
+                return series
+
+            return [
+                _convert(series)
+                for _, series in self.X_multiindex.groupby(
+                    level=list(range(self.X_multiindex.index.nlevels - 1))
+                )
+            ]
+        else:
+            return list(self)
 
     def reconstruct(
         self,