from sklearn.cross_validation import train_test_split

ERROR:
ImportError: No module named sklearn.cross_validation

解决方案：
it must relate to the renaming and depreaction of cross_validation submodule to model_selection. Try substituting cross_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