DOC: `to_pickle` arguments for `compression` have a mistake (easy-fix)
#### Location of the documentation

https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.to_pickle.html

#### Documentation problem

`compression{‘infer’, ‘gzip’, ‘bz2’, ‘zip’, ‘xz’, None}, default ‘infer’` notes that `gzip` is a valid extension, this is wrong, the extension checked for is `gz`. The documentation for `to_csv` is correct with `... detect compression mode from the following extensions: ‘.gz’, ‘.bz2’, ‘.zip’ or ‘.xz’` and should act as a guide: https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.to_csv.html

#### Suggested fix for documentation

`compression{‘infer’, ‘gz’, ‘bz2’, ‘zip’, ‘xz’, None}, default ‘infer’` to match the code implementation: https://github.com/pandas-dev/pandas/blob/v1.0.5/pandas/io/common.py#L223

There _may_ be an argument to extending the `_compression_to_extension` code to accept both `gzip` and `gz`for gzip compression, whoever reads this might decide this is worth escalating. For me making sure we fix the docs in line with the code is the priority.