BUG: index.map() deletes index.name
This is related to https://github.com/pandas-dev/pandas/issues/12766
Possibly a duplicate.
#### A small, complete example of the issue

```
DD = pd.DataFrame({'A':[1,2,3,4,5]})
DD.index.name = 'Test'
print DD.index.name
DD.index = DD.index.map(unicode)
print DD.index.name
```
#### Expected Output

The mapping operation deletes the index name.

However mapping a function on the index means modifying an existing index, so one would expect the name of the index to stay the same as opposed to when choosing a completely new index.
#### Output of `pd.show_versions()`

```
python: 2.7.12.final.0
pandas: 0.19.0
```
#### EDIT:

Doing a `set_index(column)` does NOT set the column name as the index name, I think it would be common sense that the name of the column which becomes the new index be automatically set as the index name.
