Although SharePoint online has introduce a new functionality of looking at Audit Log using Security and Compliance Center but for site level access to Audit Log the function still exist.  If you have multiple site collections where you want to enable the auditing functionality, you can use the script below.  You would need to install SharePoint Online Client Components before you can use the script.  Please download the latest bits from github instead of using the RTM version.

PowerShell
Edit|Remove
function Enable-SPOAuditing 
{ 
    <# 
        .SYNOPSIS 
        Enables or disables Auditing on SharePoint ONline Sites 
        .DESCRIPTION 
        Enables or disables Auditing on SharePoint ONline Sites 
        .EXAMPLE 
        Enable-SPOAuditing 
        explains how to use the command 
        can be multiple lines 
        .EXAMPLE 
        Enable-SPOAuditing 
        another example 
        can have as many examples as you like 
    #> 
    [CmdletBinding()] 
    param 
    ( 
        [Parameter(Mandatory=$true)] 
        [System.String] 
        $SPOSiteUrl, 
        [Parameter(Mandatory=$true)] 
        [System.String] 
        $UserName, 
        [Parameter(Mandatory=$true)] 
        [System.Security.SecureString] 
        $Password 
    ) 
    $spoCtx = New-Object Microsoft.SharePoint.Client.ClientContext($SPOSiteUrl) 
    $spoCredentials = New-Object Microsoft.SharePoint.Client.SharePointOnlineCredentials($UserName, $Password) 
    #SPO Client Object Model Context 
    $spoCtx.Credentials = $spoCredentials 
    $spoSite = $spoCtx.Site 
    $spoCtx.Load($spoSite) 
    $Audit = $spoSite.Audit 
    $spoCtx.Load($Audit) 
    $spoCtx.ExecuteQuery 
    $All = [Microsoft.SharePoint.Client.AuditMaskType]::All; 
    $None = [Microsoft.SharePoint.Client.AuditMaskType]::None; 
    $CheckIn = [Microsoft.SharePoint.Client.AuditMaskType]::CheckIn; 
    $CheckOut = [Microsoft.SharePoint.Client.AuditMaskType]::CheckOut; 
    $ChildDelete = [Microsoft.SharePoint.Client.AuditMaskType]::ChildDelete; 
    $CheckIn = [Microsoft.SharePoint.Client.AuditMaskType]::CopyCheckIn; 
    $Move = [Microsoft.SharePoint.Client.AuditMaskType]::Move; 
    $ObjectDelete = [Microsoft.SharePoint.Client.AuditMaskType]::ObjectDelete; 
    $ProfileChange = [Microsoft.SharePoint.Client.AuditMaskType]::ProfileChange; 
    $SchemaChange = [Microsoft.SharePoint.Client.AuditMaskType]::SchemaChange; 
    $Search = [Microsoft.SharePoint.Client.AuditMaskType]::Search; 
    $SecurityChange = [Microsoft.SharePoint.Client.AuditMaskType]::SecurityChange; 
    $Undelete = [Microsoft.SharePoint.Client.AuditMaskType]::Undelete; 
    $Update = [Microsoft.SharePoint.Client.AuditMaskType]::Update; 
    $View = [Microsoft.SharePoint.Client.AuditMaskType]::View; 
    $Workflow = [Microsoft.SharePoint.Client.AuditMaskType]::Workflow; 
    $Audit.AuditFlags = $Search, $Update, $Undelete, $Workflow, $SecurityChange 
    $Audit.Update() 
    $spoSite.AuditLogTrimmingRetention = 60 
    $spoSite.TrimAuditLog = $true 
    #Enable All Options Auditing  
    $Audit.AuditFlags = $All 
    $Audit.Update() 
    #Disable Auditing  
    $Audit.AuditFlags = $None 
    $Audit.Update() 
    $spoCtx.ExecuteQuery() 
}  
$User = “firstnane.lastname@domain.onmicrosoft.com” 
$Password = ConvertTo-SecureString “pass@word1” -AsPlainText –Force  
#Or Use Get-Credentials to create the object. 
$Creds = New-Object -TypeName System.Management.Automation.PSCredential -ArgumentList $User,$Password  
$CSOMAssembliesPath=”C:\CSOM”  
$ClientDllPath         = $CSOMAssembliesPath +  “\Microsoft.SharePoint.Client.dll” 
$ClientRunTimeDllPath  = $CSOMAssembliesPath +  “\Microsoft.SharePoint.Client.Runtime.dll”         
Add-Type -Path $ClientDllPath -ErrorAction SilentlyContinue 
Add-Type -Path $ClientRunTimeDllPath -ErrorAction SilentlyContinue  
$AdminUrl = $User  
$AtSepPostion = $AdminUrl.IndexOf(‘@’) + 1 
$DotPostion = $AdminUrl.LastIndexOf(“.onmicrosoft”) 
$DomainName = $AdminUrl.Substring($AtSepPostion, $DotPostion – $AtSepPostion) 
$FinalAdminUrl = “https://$DomainName-admin.sharepoint.com”  
Connect-SPOService -Url $FinalAdminUrl -Credential $Creds 
#To Test 
#$Sites = Get-SPOSite -Limit 1  
$Sites = Get-SPOSite -Limit All | Select Title, Url, Owner  
foreach($Site in $Sites) 
{ 
    Enable-SPOAuditing -SPOSiteUrl $Site.Url -UserName $User -Password $Password 
}