C# to F#: Creating and using a float[][] in F#

I have this simple method for a neural network in C#:

  private void InitNeurons()
    {
        //Neuron Initilization
        List<float[]> neuronsList = new List<float[]>();

        for (int i = 0; i < _layers.Length; i++) //run through all layers
        {
            neuronsList.Add(new float[_layers[i]]); //add layer to neuron list
        }

        _neurons = neuronsList.ToArray(); //convert list to array
    }

How do I do this in F#? I was thinking it could be simpler. Perhaps something like this?

namespace NeuralNetwork

type NeuralNetworkF(layers : int[]) = 
    member this.Layers = layers
    member this.Neurons : float[][] = [| for layer in layers do new float[]|]

This causes a compiler error in F#. I want to take the size of the int array "_layers" and for each value iterate over and add that value to the Neurons member in F#.