It seems that the module of train_test_split changes from 0.20, and Deprecation Warning appears at 0.18.

It seems that the module of train_test_split changes from 0.20, and Deprecation Warning appears at 0.18.

from sklearn.cross_validation import train_test_split

44: DeprecationWarning: This module was deprecated in version 0.18 in favor of the model_selection module into which all the refactored classes and functions are moved. Also note that the interface of the new CV iterators are different from that of this module. This module will be removed in 0.20.
  "This module will be removed in 0.20.", DeprecationWarning)

So import from the new module

from sklearn.model_selection import train_test_split

I googled, thinking that it would be nice if you could write the migration destination in Warning.