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In this paper, we introduce matrix weighted Bourgain-Morrey spaces and obtain two sufficient conditions for precompact sets in matrix weighted Bourgain-Morrey spaces. We prove that the dyadic average operator is bounded on some matrix weighted Bourgain-Morrey spaces. With this result, we obtain the necessity for precompact sets in some matrix weighted Bourgain-Morrey spaces. The results are new even for the unweighted Bourgain-Morrey spaces.

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