There are two extensions for training, TrainTestSplit and CrossValidation, that are not clearly suited for AnomalyDetection as written.

TrainTestSplit is available in AnomalyDetection as it's in the TrainerCatalogBase, but anomaly detection scenarios often have structured data (e.g. time series) that we don't handle. Do we disable TrainTestSplit for AnomalyDetection? Do we add support for some sorts of structured data different than we have now? Do we assume that all structural problems can be solved with a SamplingKeyColumn?

CrossValidation is not supported, but could be supported, should we solve the TrainTestSplit issue.