According to the Scarsdale Police Department, around 2 a.m., police responded to a home on Berwick Road.
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The victims reported that they were in bed and awoke to sounds of two men running through the home.
The residents, a husband and wife, confronted and fought the suspects, police said.
Police say the husband tried to detain one of the intruders who was able to break free.
The occupants themselves fled the house and called 911. K-9 units were brought in to try and track down the two masked men.
The suspects fled and have not been found.
Detectives on the scene Wednesday morning removed what they hope will be a key piece of evidence: a window screen.
It was through a first-floor window that police believe the suspects entered the home.
Police say some items were taken from the home but no one was injured.
For residents in the quiet, affluent community, there is concern.
"I think it's horrible that people are entering people's homes when people are in them," said neighborhood resident Carol Wolfe. "It's one thing to rob a house when everyone's on vacation, it's still terrible to enter someone's home but to have someone intrude in your home when you're sleeping is absolutely horrendous."
Police say there is nothing to indicate the family was targeted, and it is the first such home invasion in years.
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No arrests have been made and the investigation is ongoing.
Anyone with information about the case is asked to call (914) 722-1200.