Historical Decomposition

Hi there,
I was wondering whether it is important to do Cholesky decomposition of the variance-covariance matrix when we do historical decomposition.
Thanks for your taking your time to answer.
Cheers,
Qazi
I was wondering whether it is important to do Cholesky decomposition of the variance-covariance matrix when we do historical decomposition.
Thanks for your taking your time to answer.
Cheers,
Qazi