ENH: Add from_arrays for MultiIndex (#1001)

I was trying to create a MultiIndex from an array just now, and found out it hadn't been implemented, so have this PR to create MI from arrays.

```python
>>> arrays = [['a', 'a', 'b', 'b'], ['red', 'blue', 'red', 'blue']]
>>> ks.MultiIndex.from_arrays(arrays)
MultiIndex([('a',  'red'),
                    ('a', 'blue'),
                    ('b',  'red'),
                    ('b', 'blue')],
                   names=['number', 'color'])
```

Author: charlesdong1991

databricks/koalas/indexes.py

@@ -569,6 +569,40 @@ def from_tuples(tuples, sortorder=None, names=None):
         return DataFrame(index=pd.MultiIndex.from_tuples(
             tuples=tuples, sortorder=sortorder, names=names)).index
 
+    @staticmethod
+    def from_arrays(arrays, sortorder=None, names=None):
+        """
+        Convert arrays to MultiIndex.
+
+        Parameters
+        ----------
+        arrays: list / sequence of array-likes
+            Each array-like gives one level’s value for each data point. len(arrays)
+            is the number of levels.
+        sortorder: int or None
+            Level of sortedness (must be lexicographically sorted by that level).
+        names: list / sequence of str, optional
+            Names for the levels in the index.
+
+        Returns
+        -------
+        index: MultiIndex
+
+        Examples
+        --------
+
+        >>> arrays = [[1, 1, 2, 2], ['red', 'blue', 'red', 'blue']]
+        >>> ks.MultiIndex.from_arrays(arrays, names=('number', 'color'))  # doctest: +SKIP
+        MultiIndex([(1,  'red'),
+                    (1, 'blue'),
+                    (2,  'red'),
+                    (2, 'blue')],
+                   names=['number', 'color'])
+        """
+        return DataFrame(index=pd.MultiIndex.from_arrays(
+            arrays=arrays, sortorder=sortorder, names=names
+        )).index
+
     @property
     def name(self) -> str:
         raise PandasNotImplementedError(class_name='pd.MultiIndex', property_name='name')

databricks/koalas/tests/test_indexes.py

@@ -294,6 +294,13 @@ def test_multiindex_nlevel(self):
 
         self.assertEqual(kdf.index.nlevels, 2)
 
+    def test_multiindex_from_arrays(self):
+        arrays = [['a', 'a', 'b', 'b'], ['red', 'blue', 'red', 'blue']]
+        pidx = pd.MultiIndex.from_arrays(arrays)
+        kidx = ks.MultiIndex.from_arrays(arrays)
+
+        self.assert_eq(pidx, kidx)
+
     def test_multiindex_levels(self):
         tuples = [[list('abc'), list('def')], [list('aac'), list('fed')]]