A man set himself on fire outside Kensington Palace on Tuesday and was pronounced dead at the scene, CNN reports. Police found the burning man around 3am near Kensington Gardens and attempted to administer medical care but were unable to save him. Prince William and his family, who live at the palace when they're in London, were not there at the time, the Guardian reports. The man, who was in his 40s, was in the care of a central London hospital and had been reported missing just after midnight after he didn't return to the facility. (More Kensington Palace stories.)