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But you cannot delegate directly from there. Need first to send the coins to a core wallet and then, from there, send the delegation to Ledger (using a ledger address as owner-address).
The rest is the same as with any other delegation, as described in the guide.
https://github.com/random-zebra/PIVX-Wiki/blob/master/User-Documentation/Cold-Staking-HowTo.md
Several users have already set it up