In Share point online environment, we can use power shell commands for administrative tasks but the initial set up has to be done. Below are the commands which i have used to connect to the online environment.
Power shell Commands
Import-Module MSOnline
$User = "[username]@[tenant].onmicrosoft.com"
$Pass = "[password]"
$creds = New-Object System.Management.Automation.PSCredential($User,(ConvertTo-SecureString $Pass -AsPlainText -Force));
#$creds = Get-Credentials;
Connect-MsolService -Credential $creds
Connect-SPOService -Url https://[tenant]-admin.sharepoint.com -Credential $creds
Happy SharePointing :-)