BUG: Prevent segfault in roll_weighted_var

doc/source/whatsnew/v1.5.0.rst

@@ -599,7 +599,7 @@ Groupby/resample/rolling
 - Bug in :meth:`GroupBy.cummax` with ``int64`` dtype with leading value being the smallest possible int64 (:issue:`46382`)
 - Bug in :meth:`GroupBy.max` with empty groups and ``uint64`` dtype incorrectly raising ``RuntimeError`` (:issue:`46408`)
 - Bug in :meth:`.GroupBy.apply` would fail when ``func`` was a string and args or kwargs were supplied (:issue:`46479`)
--
+- Bug in :meth:`.Rolling.var` would segfault calculating weighted variance when window size was larger than data size (:issue:`46760`)
 
 Reshaping
 ^^^^^^^^^

pandas/_libs/window/aggregations.pyx

@@ -1592,7 +1592,7 @@ def roll_weighted_var(const float64_t[:] values, const float64_t[:] weights,
 
     with nogil:
 
-        for i in range(win_n):
+        for i in range(min(win_n, n)):
             add_weighted_var(values[i], weights[i], &t,
                              &sum_w, &mean, &nobs)
 

pandas/tests/window/test_win_type.py

@@ -676,3 +676,13 @@ def test_cmov_window_special_linear_range(win_types_special, step):
         .mean(**kwds[win_types_special])
     )
     tm.assert_series_equal(xp, rs)
+
+
+@td.skip_if_no_scipy
+def test_weighted_var_big_window_no_segfault(win_types, center):
+    # Github Issue #46772
+    x = Series(0)
+    result = x.rolling(window=16, center=center, win_type=win_types).var()
+    expected = Series(np.NaN)
+
+    tm.assert_series_equal(result, expected)