Usually there is no need to checkout this module separately. Just
checkout (or clone) the source repository https://github.com/shogun-toolbox/shogun
and issue git submodule update --init in the root directory.
Then, fetch the data files by simply doing git submodule update.
Every new revision must be committed in Shogun as well. After merging
new commits to shogun-data, you need to commit the new revision to
the shogun repository:
cd data && git checkout master && cd ..
git add data && git commit -m "updating revision of data submodule"