Where I grew up, a candle burning in the window was meant as hope for a son at war, or lost at war, to return home. There were some great old houses with old families that had lost sons, and they used electric candles so that they would burn all year around.
My undrestanding was that it became popular during the civil war. But the tradition extends back into history.
Like many old habits there have been modern attempts to reframe the tradition as something other than what it was developed for: a lighthouse for weary travellers, in this world or the next.