diff --git a/src/KalmanFilterTools.jl b/src/KalmanFilterTools.jl
index d606bb2dae3f5b6dce1e12f8a9e4656db7aa1304..408d48caac9c717ee77d568cb4a1d1d431b16b57 100644
--- a/src/KalmanFilterTools.jl
+++ b/src/KalmanFilterTools.jl
@@ -1052,6 +1052,7 @@ function kalman_filter_2!(Y::AbstractArray{U},
     steady = false
     vP = view(P, :, :, 1)
     copy!(ws.oldP, vP)
+    cholHset = false
     while t <= last
 
         pattern = data_pattern[t]