add train_test_split function to DataFrame
Use random sample to split a DataFrame to train set and test set which ready for cross validation.

this is ok but should be in pandas/utils/testing.py

also need a test or 2 for this to validate it's working 
 Does it belong in testing? I'd say it's fine for NDFrames.  The train / test split is a machine learning thing used all the time for choosing models.

What's the status on https://github.com/paulgb/sklearn-pandas? It doesn't seem to be very active.
 Also, we should talk about how broadly we want to support the machine learning / stats preprocessing stuff. Why add this one, but not every Cross Validation method in http://scikit-learn.org/stable/modules/classes.html#module-sklearn.cross_validation? The preprocessing methods [here](http://scikit-learn.org/stable/modules/classes.html#module-sklearn.preprocessing) are also arguably useful, again depending on if this is out of scope or not.
 Maybe we could put a bunch of these methods under `pandas.stats`, rather than adding even more methods to Series and DataFrame?
 Actually I add this function to DataFrame is not for sklearn, sklearn already provide enough functions for machine learning, and in some case I will use sklearn and pandas together, for engineer this maybe enough and also high-efficiency.
But when I use panda and statsmodels together, I need this function to construct train set and test set, I think maybe some user like me will have the same concern who is learning machine learning algorithm from statistics point of view not the engineering point of view. Sklearn didn't provide more statistics metrics like statsmodels. And for me, statsmodels are more friendly for pandas than sklearn, actually when I use pandas and sklearn I need to transfer pandas to NDarrays.
To be honest, I don't know whether this function is in the scope of pandas. Or maybe it is in the scope of statsmodels.
 @TomAugspurger you raise a lot of good questions
so how much should pandas support pre scikit-learn stuff?

I agree that this should be maybe a separate module at the very least

pandas.stats.learn maybe 

the question is how much pre processing should pandas support

you want to send an email to scikit-learn dev and pydata to get some feedback?
 I personally think this is a little bit out of scope for main pandas at this moment.
- If we add it, I would at least make it more general, eg just a `split` function (that can be random or not random), or a `sample` function. There are other reasons to split a dataframe in two apart from train/test dataset.
- But indeed, maybe we should think more in general if this kind of functions belong in pandas, or in sklearn/statsmodels/seperate project... or in a module in pandas. I also think we should be precautious with overloading dataframe/series too much with adding more methods.

See also https://github.com/statsmodels/statsmodels/issues/1498 to ask to add this to statsmodels
 I tend to agree that this is out of scope just because it's kind of a "so what?" proposition if all you have his pandas installed, though I don't feel all that strongly about it. Statsmodels could easily add pandas-aware CV tools from sklearn. I have many of them littered in my personal code just haven't gotten around to adding them to the project.
 Don't we have an issue for spliting with a groupby? +1 on being unsure about scope.

You can get sample with a groupby which may be faster (e.g. 10%):

```
g = df.groupby(np.random.randint(0, 10, (len(df),)) == 0), as_index=False)
train = g.get_group(False)
test = g.get_group(True)
```

tbh I would have thought that scikit learn had some methods to do this (e.g. in an ensemble)...

...I kindof think the solution could be for scikit etc to support pandas objects, perhaps we could write a simple decorator to (if passed a frame/series) extract values, execute, and then (if appropriate) reglue index/columns to result. (probably a non-starter for scikit if there's a perf hit?)
 Isn't that the equivalent of just boolean indexing though?
On Mar 26, 2014 5:02 PM, "Andy Hayden" notifications@github.com wrote:

> Don't we have an issue for spliting with a groupby? +1 on being unsure
> about scope.
> 
> You can get sample with a groupby which may be faster (e.g. 10%):
> 
> g = df.groupby(np.random.randint(0, 10, (len(df),)) == 0), as_index=False)
> train = g.get_group(False)
> test = g.get_group(True)
> 
> tbh I would have thought that scikit learn had some methods to do this
> (e.g. in an ensemble)...
> 
> ...I kindof think the solution could be for scikit etc to support pandas
> objects, perhaps we could write a simple decorator to (if passed a
> frame/series) extract values, execute, and then (if appropriate) reglue
> index/columns to result. (probably a non-starter for scikit if there's a
> perf hit?)
> 
> ## 
> 
> Reply to this email directly or view it on GitHubhttps://github.com/pydata/pandas/pull/6687#issuecomment-38755537
> .
 @jtratner ahem, it totally is!
 should use iloc for the indexing 
 closing..out of scope of pandas
