from sklearn.cross_validation import train_test_split

ERROR:
ImportError: No module named sklearn.cross_validation

Solution:
it must relate to therenaming and depreaction ofcross_validationsubmodule tomodel_selection. Try substitutingcross_validation->model_selection

train_test_split is now in model_selection. Just type:

from sklearn.model_selection import train_test_split

Reference：
https://stackoverflow.com/questions/30667525/importerror-no-module-named-sklearn-cross-validation