Definition of Captain Oates from the Oxford Advanced Learner's Dictionary

 

Captain Oates

 
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Lawrence Oates (1880-1912) an English explorer who went to the South Pole with Captain Scott. He is remembered for the brave way in which he died on the journey back. He was very ill and walked out of the tent and into the snow to die. People sometimes use his words of farewell as a joke when they leave to do something dangerous or difficult.
I am just going outside and may be some time.
Captain Oates's farewell