ImportError: No module named sklearn.cross_validation

train_test_split is now in model_selection. Just type:

from sklearn.model_selection import train_test_split

it should work

Make sure you have Anaconda installed and then create a virtualenv using conda. This will ensure all the imports work

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>>> from sklearn.cross_validation import train_test_split

It must relate to the renaming and deprecation of cross_validation sub-module to model_selection. Try substituting cross_validation to model_selection

I guess cross selection is not active anymore. We should use instead model selection. You can write it to run, from sklearn.model_selection import train_test_split

Thats it.