DOC: Update month_name and day_name docstrings

- To fix confusing `month_index` return name in `day_name` method
- To better match the preferred docstring style.

Author: Peque

pandas/core/arrays/datetimes.py

@@ -793,17 +793,18 @@ def month_name(self, locale=None):
         """
         Return the month names of the DateTimeIndex with specified locale.
 
+        .. versionadded:: 0.23.0
+
         Parameters
         ----------
-        locale : string, default None (English locale)
-            locale determining the language in which to return the month name
+        locale : str, optional
+            Locale determining the language in which to return the month name.
+            Default is English locale.
 
         Returns
         -------
-        month_names : Index
-            Index of month names
-
-        .. versionadded:: 0.23.0
+        Index
+            Index of month names.
         """
         if self.tz is not None and self.tz is not utc:
             values = self._local_timestamps()
@@ -819,17 +820,18 @@ def day_name(self, locale=None):
         """
         Return the day names of the DateTimeIndex with specified locale.
 
+        .. versionadded:: 0.23.0
+
         Parameters
         ----------
-        locale : string, default None (English locale)
-            locale determining the language in which to return the day name
+        locale : str, optional
+            Locale determining the language in which to return the day name.
+            Default is English locale.
 
         Returns
         -------
-        month_names : Index
-            Index of day names
-
-        .. versionadded:: 0.23.0
+        Index
+            Index of day names.
         """
         if self.tz is not None and self.tz is not utc:
             values = self._local_timestamps()