The dnn_cuda library is only an intermediate library that is not
meant to be installed with ROOT, so it needs to be static since
TMVA needs to export its dependencies and if this library is shared
the dependency won't be there after a `make install'. Therefore the
error in CMake:

CMake Error: install(EXPORT "ROOTExports" ...) includes target "TMVA"
which requires target "dnn_cuda" that is not in the export set.