You need to use Office 365 admin center to change your name. If you are an global admin user, do the following
After a few seconds, the name is changed in all Office 365 services. If you want to change your user name also, make note that it could take up to 24 hours for this change to take effect across all services, and that you need to reconfigure our clients.
Read more about that here:
If you are not an admin user, please contact your administrator, and tell him to do it for you :)
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