BUG: NaN should have pct rank of NaN

Closes gh-22519.

Author: gfyoung

doc/source/whatsnew/v0.23.5.txt

@@ -39,6 +39,7 @@ Bug Fixes
 **Groupby/Resample/Rolling**
 
 - Bug in :meth:`DataFrame.resample` when resampling ``NaT`` in ``TimeDeltaIndex`` (:issue:`13223`).
+- Bug in :meth:`DataFrameGroupBy.rank` and :meth:`SeriesGroupBy.rank` with empty groups (:issue:`22519`)
 -
 
 **Missing**

pandas/_libs/groupby_helper.pxi.in

@@ -584,7 +584,10 @@ def group_rank_{{name}}(ndarray[float64_t, ndim=2] out,
 
         if pct:
             for i in range(N):
-                out[i, 0] = out[i, 0] / grp_sizes[i, 0]
+                if out[i, 0] != out[i, 0] or out[i, 0] == NAN:
+                    out[i, 0] = NAN
+                else:
+                    out[i, 0] = out[i, 0] / grp_sizes[i, 0]
 {{endif}}
 {{endfor}}
 

pandas/tests/groupby/test_rank.py

@@ -1,7 +1,7 @@
 import pytest
 import numpy as np
 import pandas as pd
-from pandas import DataFrame, concat
+from pandas import DataFrame, Series, concat
 from pandas.util import testing as tm
 
 
@@ -273,3 +273,20 @@ def test_rank_naoption_raises(ties_method, ascending, na_option, pct, vals):
         df.groupby('key').rank(method=ties_method,
                                ascending=ascending,
                                na_option=na_option, pct=pct)
+
+
+def test_rank_empty_group():
+    # see gh-22519
+    column = "A"
+    df = DataFrame({
+        "A": [0, 1, 0],
+        "B": [1., np.nan, 2.]
+    })
+
+    result = df.groupby(column).B.rank(pct=True)
+    expected = Series([0.5, np.nan, 1.0], name="B")
+    tm.assert_series_equal(result, expected)
+
+    result = df.groupby(column).rank(pct=True)
+    expected = DataFrame({"B": [0.5, np.nan, 1.0]})
+    tm.assert_frame_equal(result, expected)