/usr/include/shogun/lib/external/SFMT/ is in libshogun-dev 3.2.0-7.3build4.
This file is owned by root:root, with mode 0o755.
..
/usr/include/shogun/lib/external/SFMT/SFMT-common.h
/usr/include/shogun/lib/external/SFMT/SFMT-params.h
/usr/include/shogun/lib/external/SFMT/SFMT-params11213.h
/usr/include/shogun/lib/external/SFMT/SFMT-params1279.h
/usr/include/shogun/lib/external/SFMT/SFMT-params132049.h
/usr/include/shogun/lib/external/SFMT/SFMT-params19937.h
/usr/include/shogun/lib/external/SFMT/SFMT-params216091.h
/usr/include/shogun/lib/external/SFMT/SFMT-params2281.h
/usr/include/shogun/lib/external/SFMT/SFMT-params4253.h
/usr/include/shogun/lib/external/SFMT/SFMT-params44497.h
/usr/include/shogun/lib/external/SFMT/SFMT-params607.h
/usr/include/shogun/lib/external/SFMT/SFMT-params86243.h
/usr/include/shogun/lib/external/SFMT/SFMT-sse2.h
/usr/include/shogun/lib/external/SFMT/SFMT.h