example.m

clear
clc

n = 1e7;
%y = genAR(n, 200, exp(-0.2*(1:200)')/5);
y = randn(n, 1);

tic;
[xtx, xty] = xL(y(2:end), [y(1:end-1) y(1:end-1).^2], [200 100]);
beta = inv(xtx)*xty;
toc;