THE Duchess of York has described how her daughters, Princesses Beatrice and Eugenie, expected the ghost of Diana, Princess of Wales, to visit them in the weeks after her death.

The duchess was close to tears as she described how her daughters left blankets and a pillow out at night for the princess.

She also revealed that Beatrice, nine, and Eugenie, seven, used to call the princess ''Duch''.

''For the next three weeks after Diana's death Beatrice and Eugenie laid little blankets and a pillow in their room for when Duch came to visit, because they were sure she would come to visit,'' she said on Wednesday night's David Letterman show.

The duchess admitted that she had found the public outpouring of grief after Diana's death ''weird''.

''It was just extraordinary to see so many people grieving and she would have been amazed if she's seen so many flowers and the whole world coming out and saying she was the greatest humanitarian, the most compassionate woman.''

The duchess was in the United States to host a children's charity ball in Oklahoma last night.