JERSEY CITY, N.J. (NEWS 8/AP) — It was a beautiful afternoon in New Jersey as thousands gathered to watch New York Harbor's annual Fleet Week festival.  

But then tragedy struck when the U.S. Navy's elite skydiving team, The Leap Frogs, performed a jump.  

The man's parachute failed to open during the demonstration over the Hudson River and he landed in the water. 

The accident occurred a few minutes after noon near Liberty State Park, a large New Jersey park where thousands of people a year catch ferries to the nearby Statue of Liberty. 

6 people from the San Diego-based Leap Frogs were a part of that jump.  

In a release, the Navy said the parachutist was rescued immediately from the water by U.S. Coast Guard personnel who were standing by in vessels to support the aerial demonstration that featured a coordinated parachute jump. Local fire department personnel who were also on standby responded as well.

The Navy said the parachutist was pronounced dead at Jersey City Medical Center at 1:10 p.m. 

The Navy has not released the name of the person who died, but those who were in attendance say this was particularly sad considering this is memorial day weekend.  

"Considering I have a son in the military and you know, someone's got to report that back to their family and it's horrible," said one spectator. 

The Navy says a full investigation will be done to figure out how exactly this tragedy could have happened.  

"Our hearts and prayers go out to his family, and I ask for all of your prayers for the Navy SEAL community who lost a true patriot today," said Rear Adm. Jack Scorby, Commander, Navy Region Mid-Atlantic.