BUG: rolling fails when Series contains pd.NA

[ChiQiao]

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

---

Note: Please read this guide detailing how to provide the necessary information for us to reproduce your bug.

Code Sample, a copy-pastable example

s = pd.Series([0, 1, pd.NA], dtype="Int64")
s.rolling(2).mean()

Problem description

Get an exception ValueError: cannot convert to 'float64'-dtype NumPy array with missing values. Specify an appropriate 'na_value' for this dtype.

Int type is a good implementation, as it seems to be the only way to preserve integer and missing value (otherwise the type is cast as float64 to accommodate np.nan). However, pd.NA as the missing value indicator seems not treated similarly to np.nan and cause the operation above to fail.

Expected Output

Output of pd.show_versions()

INSTALLED VERSIONS

commit : c7f7443
python : 3.7.11.final.0
python-bits : 64
OS : Windows
OS-release : 10
Version : 10.0.19041
machine : AMD64
processor : Intel64 Family 6 Model 142 Stepping 10, GenuineIntel
byteorder : little
LC_ALL : None
LANG : en_US.UTF-8
LOCALE : None.None

pandas : 1.3.1
numpy : 1.20.3
pytz : 2021.1
dateutil : 2.8.2
pip : 21.2.2
setuptools : 52.0.0.post20210125
Cython : 0.29.24
pytest : 6.1.2
hypothesis : 6.14.1
sphinx : 4.0.2
blosc : None
feather : None
xlsxwriter : 1.4.4
lxml.etree : 4.6.3
html5lib : 1.1
pymysql : 1.0.2
psycopg2 : None
jinja2 : 3.0.1
IPython : 7.22.0
pandas_datareader: None
bs4 : 4.9.3
bottleneck : 1.3.2
fsspec : 2021.07.0
fastparquet : None
gcsfs : None
matplotlib : 3.4.2
numexpr : 2.7.3
odfpy : None
openpyxl : 3.0.7
pandas_gbq : None
pyarrow : 3.0.0
pyxlsb : None
s3fs : 0.4.2
scipy : 1.6.2
sqlalchemy : 1.4.22
tables : 3.6.1
tabulate : 0.8.9
xarray : 0.19.0
xlrd : 2.0.1
xlwt : 1.3.0
numba : 0.53.0