I got the following error:
Error 2 Value restriction. The value
'gbmLikelihood'
has been inferred to have generic typeval gbmLikelihood : (float -> '_a -> float [] -> float) when '_a :> seq<float>
Either make the arguments to'gbmLikelihood'
explicit or, if you do not intend for it to be generic, add a type annotation.
and this type is exactly what I want. What do I have to do to make it work, and why doesn't it just work without intervention?
EDIT:
The error comes from this file (its short, so I paste the whole lot):
module Likelihood
open System
let likelihood getDrift getVol dt data parameters =
let m = getDrift data parameters
let s = getVol data parameters
let N = float (Seq.length data)
let sqrt_dt = Math.Sqrt dt
let constant = -0.5*Math.Log(2.0*Math.PI*dt)*N
let normalizedResidue observation = (observation - (m - 0.5*s*s)*dt)/(s*sqrt_dt)
let residueSquared observation =
let r = normalizedResidue observation in r*r
let logStdDev = Math.Log s
constant - logStdDev*N - 0.5* (data |> Seq.sumBy residueSquared)
let gbmLikelihood = likelihood (fun data p -> Array.get p 0) (fun datac p -> Array.get p 1)