ImportError: No module named sklearn.cross_validation
It must relate to the renaming and deprecation of cross_validation sub-module to model_selection. Try substituting cross_validation to model_selection
train_test_split is now in model_selection. Just type:
from sklearn.model_selection import train_test_splitit should work
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.