15819 rolling window on empty df
 - [x] closes #15819 
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master --name-only -- '*.py' | flake8 --diff``
 - [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=h1) Report
> Merging [#16431](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/49ec31bbaeca81a6f58fc1be26fe80f3ac188cdd?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16431/graphs/tree.svg?width=650&src=pr&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16431      +/-   ##
==========================================
- Coverage   90.42%   90.42%   -0.01%     
==========================================
  Files         161      161              
  Lines       51023    51023              
==========================================
- Hits        46138    46137       -1     
- Misses       4885     4886       +1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.26% <100%> (-0.01%)` | :arrow_down: |
| #single | `40.17% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/window.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvd2luZG93LnB5) | `96.24% <100%> (ø)` | :arrow_up: |
| [pandas/core/common.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY29tbW9uLnB5) | `91.05% <0%> (-0.34%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=footer). Last update [49ec31b...d31b983](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=h1) Report
> Merging [#16431](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/49ec31bbaeca81a6f58fc1be26fe80f3ac188cdd?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16431/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16431      +/-   ##
==========================================
+ Coverage   90.42%   90.43%   +<.01%     
==========================================
  Files         161      161              
  Lines       51023    51036      +13     
==========================================
+ Hits        46138    46152      +14     
+ Misses       4885     4884       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.26% <100%> (ø)` | :arrow_up: |
| #single | `40.17% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/window.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvd2luZG93LnB5) | `96.48% <100%> (+0.23%)` | :arrow_up: |
| [pandas/io/feather\_format.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2lvL2ZlYXRoZXJfZm9ybWF0LnB5) | `85.71% <0%> (-2.17%)` | :arrow_down: |
| [pandas/core/reshape/merge.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9tZXJnZS5weQ==) | `94.18% <0%> (-0.01%)` | :arrow_down: |
| [pandas/errors/\_\_init\_\_.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2Vycm9ycy9fX2luaXRfXy5weQ==) | `100% <0%> (ø)` | :arrow_up: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.69% <0%> (ø)` | :arrow_up: |
| [pandas/core/missing.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvbWlzc2luZy5weQ==) | `84.27% <0%> (ø)` | :arrow_up: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `92.13% <0%> (ø)` | :arrow_up: |
| [pandas/core/reshape/reshape.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9yZXNoYXBlLnB5) | `99.28% <0%> (ø)` | :arrow_up: |
| [pandas/io/formats/style.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvc3R5bGUucHk=) | `95.92% <0%> (+0.01%)` | :arrow_up: |
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.33% <0%> (+0.01%)` | :arrow_up: |
| ... and [4 more](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=footer). Last update [49ec31b...4a81a5e](https://codecov.io/gh/pandas-dev/pandas/pull/16431?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback Thanks for the review - I have tried to address your comments @jreback I have tried to address your comments. Thanks @jreback Thanks for the suggestions. I have updated the tests as you have indicated and verified the new test code lints clean.  thanks!