Bagpipers played as the victims' family members walked into St. James the Apostle Church in Carmel, N.Y. Saturday morning.
They were led by the fire's sole survivor, Thomas Sullivan Jr., who watched while holding his father's police cap over his heart.
Larchmont Police Capt. Thomas Sullivan was killed in the fire early Tuesday along with his wife, Donna, and teenage daughters Meaghan and Mairead.
The cause of the fire has not been determined.
Larchmont Police Chief John Paulway said he last saw Sullivan on Monday.
The chief said Sullivan's desk was full of art projects by his children.
A long line of uniformed officers saluted the funeral procession.
"It's a terrible tragedy," said one of the mourners, Eric Dinome. "It defies our understanding."
"We're all still kind of processing this," Putnam County Executive MaryEllen Odell said. "And we're very sad."
A fund is being set up to help Thomas Sullivan Jr.
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