Add whats_new entry about graph_lasso -> graphical_lasso deprecation
@@ -395,6 +395,14 @@ Outlier Detection models
``raw_values`` parameter is deprecated as the shifted Mahalanobis distance
will be always returned in 0.22. :issue:`9015` by `Nicolas Goix`_.
+Covariance
+
+- The :func:`covariance.graph_lasso`, :class:`covariance.GraphLasso` and
+ :class:`covariance.GraphLassoCV` have been renamed to
+ :func:`covariance.graphical_lasso`, :class:`covariance.GraphicalLasso` and
+ :class:`covariance.GraphicalLassoCV` respectively and will be removed in version 0.22.
+ :issue:`9993` by :user:`Artiem Krinitsyn <artiemq>`
+
Misc
- Changed warning type from UserWarning to ConvergenceWarning for failing
