Let (X_{1}, ldots, X_{n}) be a set of independent and identically distributed random variables following the distribution

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Let \(X_{1}, \ldots, X_{n}\) be a set of independent and identically distributed random variables following the distribution \(F\). Prove that for a fixed value of \(t \in \mathbb{R}\), the empirical distribution function \(\hat{F}_{n}(t)\) is an unbiased estimator of \(F(t)\) with standard error \(n^{-1 / 2}\{F(t)[1-F(t)]\}^{1 / 2}\).

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