% Try to compute the cholesky decomposition of H (possible iff H is positive definite)
[CholH,testH]=chol(H);
iftestH
% The variance-covariance matrix of the structural innovations is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.
% The variance-covariance matrix of the measurement errors is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.