I cannot import the cross_validation from sklearn library; I use sklearn version 0.20.0
from sklearn import cross_validation
later in the c
In my case, I was using some files from a Udacity course, which used an older version of sklearn. Instead of spending unnecessary time reformatting code usage to meet the latest versions of all their dependencies, it was easier to install the old version.
This was possible because they provide a requirements.txt file.
python -m pip install -r requirements.txt