Full packed Cholesky factor array
Offset into fullPackedL for this splat
Ordered dimension indices to keep; their order defines the output-axis order
Number of dimensions to keep
Output packed marginal Cholesky [subNdim*(subNdim+1)/2]
Start offset in output array
Compute the correct marginal Cholesky factor for a subset of dimensions.
For Σ = L·Lᵀ, the marginal covariance for dimensions S is: Σ_S[i,j] = Σ_k L[s_i,k]·L[s_j,k]
This function reconstructs Σ_S and then Cholesky-factorizes it. Simply extracting the raw L row/column sub-matrix is INCORRECT when there are cross-dimension correlations.