BUG: ValueError when performing rolling covariance on multi indexed DataFrame

[come-masselin]

import numpy as np
import pandas as pd

cols = pd.MultiIndex.from_product([['A', 'B'], ['C', 'D', 'E']])
df = pd.DataFrame(np.random.randn(1000, len(cols)), columns=cols)

crash_here = df.rolling(100).cov()

Hi,
Just stumbled upon this error recently.
The code above raises "ValueError: Length of names must match number of levels in MultiIndex". The error is also raised using eponentially weighted windows.
Tested both on Python 3.6 and Python 2.7.

Output of pd.show_versions()

INSTALLED VERSIONS

commit: None
python: 3.6.1.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 23 Stepping 10, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.20.2
pytest: None
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.25.2
numpy: 1.13.0
scipy: 0.19.0
xarray: None
IPython: 6.1.0
sphinx: None
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2017.2
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.0.2
openpyxl: None
xlrd: 1.0.0
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 0.999
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.9.6
s3fs: None
pandas_gbq: None
pandas_datareader: None

INSTALLED VERSIONS

commit: None
python: 2.7.13.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 23 Stepping 10, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.20.2
pytest: 3.0.5
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.25.2
numpy: 1.12.1
scipy: 0.19.0
xarray: None
IPython: 5.1.0
sphinx: 1.5.1
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2016.10
blosc: None
bottleneck: 1.2.1
tables: 3.2.2
numexpr: 2.6.2
feather: None
matplotlib: 2.0.2
openpyxl: 2.4.1
xlrd: 1.0.0
xlwt: 1.2.0
xlsxwriter: 0.9.6
lxml: 3.7.2
bs4: 4.5.3
html5lib: 0.9999999
sqlalchemy: 1.1.5
pymysql: None
psycopg2: None
jinja2: 2.9.4
s3fs: None
pandas_gbq: None
pandas_datareader: 0.2.1

[jreback]

yeah this is not tested with MultiIndex columns, so will mark this as a bug. Using a single level column index works correctly.

if you want to take a shot with a PR would be great.

[jreback]

closed by #16814