 Large number of element use rolling_median twice or more
I have a similiar issue with BUG #11697 but not same.
This issue is on win64. But  my macos is ok. 
Version:
python:2.7.10
pandas:0.17.1
numpy: 1.10.1
I use the @ajspeck example.

I got  the same error

```
  File "pandas\algos.pyx", line 1586, in pandas.algos.roll_median_c (pandas\algos.c:36408)
MemoryError: skiplist_insert failed 
```

when I used the follow code:

```
import numpy as np
import pandas as pd
n = 20000
pd.rolling_median(pd.Series(np.random.randn(n)), window=2, center=False)
pd.rolling_median(pd.Series(np.random.randn(n)), window=2, center=False)
```

while

```
import numpy as np
import pandas as pd
n=20000
pd.rolling_median(pd.Series(np.random.randn(n)), window=2, center=False)
```

works fine.

I found sum of n must  less than 25200
I don't know the issue is the same to ajspeck's.And the change couldn't fix my issue.
I guess the node is not destoried.
Thanks!
