fix BUG: ValueError when performing rolling covariance on multi indexed DataFrame (pandas-dev#16814)

* fix multi index names

* fix line length to pep8

* added what's new entry and reference issue number in test

* Update test_multi.py

* Update v0.20.3.txt

Author: Tuan

doc/source/whatsnew/v0.20.3.txt

@@ -46,6 +46,7 @@ Bug Fixes
 - Fixed compat with loading a ``DataFrame`` with a ``PeriodIndex``, from a ``format='fixed'`` HDFStore, in Python 3, that was written in Python 2 (:issue:`16781`)
 - Fixed a pytest marker failing downstream packages' tests suites (:issue:`16680`)
 - Bug in reindexing on an empty ``CategoricalIndex`` (:issue:`16770`)
+- Fixed bug where computing the rolling covariance of a MultiIndexed ``DataFrame`` improperly raised a ``ValueError`` (:issue:`16789`)
 
 Conversion
 ^^^^^^^^^^

pandas/tests/indexes/test_multi.py

@@ -61,6 +61,15 @@ def f():
 
         tm.assert_raises_regex(ValueError, 'The truth value of a', f)
 
+    def test_multi_index_names(self):
+
+        # GH 16789
+        cols = pd.MultiIndex.from_product([['A', 'B'], ['C', 'D', 'E']],
+                                          names=['1', '2'])
+        df = pd.DataFrame(np.ones((10, 6)), columns=cols)
+        rolling_result = df.rolling(3).cov()
+        assert rolling_result.index.names == [None, '1', '2']
+
     def test_labels_dtypes(self):
 
         # GH 8456