locale language,
        for example: ``idx.month_name(locale='pt_BR.utf8')`` will return month
        names in Brazilian Portuguese language.

        >>> idx = pd.date_range(start='2018-01', freq='M', periods=3)
        >>> idx
        DatetimeIndex(['2018-01-31', '2018-02-28', '2018-03-31'],
                      dtype='datetime64[ns]', freq='M')
        >>> idx.month_name(locale='pt_BR.utf8') # doctest: +SKIP
        Index(['Janeiro', 'Fevereiro', 'Março'], dtype='object')
        rœ