TITLE: What does an empirical distribution represent?
QUESTION [16 upvotes]: This might sound too general, but I have a problem understanding what is an empirical distribution supposed to mean. If I take its formal definition:
$P_n(A):=\frac 1 n \sum_{i = 1} ^ n I(X_i \in A)$ , how do I interpret it? Has anyone got a "practical" example to back up its significance? It just seems too abstract to me.

REPLY [8 votes]: The empirical distribution is the distribution you'd get if you sampled from your sample instead of the whole population.