You have to be connected to exchange online by powershell.
Query calendar permission of a user
Get-MailboxFolderPermission joel:\calendar
FolderName User AccessRights...
First of all you need to open a powershell window.
Enter user credentials for accessing Office 365
$UserCredential = Get-Credential
Open the connection
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $...