You can cut your desired result out of the Hankel matrix of arr (and an arbitrary second parameter; below we leave it out completely in which case zeros are used per default):
>>> import numpy as np
>>> from scipy import linalg
>>>
>>> arr = np.arange(10)**2 % 7 ## just a random example
>>> arr
array([0, 1, 4, 2, 2, 4, 1, 0, 1, 4])
>>> k = 4
>>> linalg.hankel(arr)[:arr.size-k+1, :k]
array([[0, 1, 4, 2],
[1, 4, 2, 2],
[4, 2, 2, 4],
[2, 2, 4, 1],
[2, 4, 1, 0],
[4, 1, 0, 1],
[1, 0, 1, 4]])
Or you could use http://scikit-image.org/docs/dev/api/skimage.util.html#skimage.util.view_as_windows.
arrandk?