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In page Cheyenne:

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The name "Cheyenne" derives from the Lakota Sioux exonym Šahíyena meaning "little Šahíya". The identity of the Šahíya is not known, but many Great Plains tribes assume that it means Cree or another people who spoke an Algonquian language related to Cree and Cheyenne.[4] The Cheyenne name for Ojibwe is Sáhea'eo'o, a word that sounds similar to the Lakota word Šahíya.[citation needed]