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I'm new to Lie Groups, but all the examples I found are matrix groups. Can someone show a non-matrix Lie group?

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    See also: http://math.stackexchange.com/q/1296442012-10-03

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There is the metaplactic group, which is the unique connected double cover of the symplectic group.

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There are no non-matrix Lie groups whose dimension is $1$ or $2$. On the other hand, consider the quotient of the Heisenberg group$\left\{\begin{pmatrix}1&a&c\\0&1&b\\0&0&1\end{pmatrix}\,\middle|\,a,b,c\in\mathbb R\right\}$by the normal subgroup$\left\{\begin{pmatrix}1&0&m\\0&1&0\\0&0&1\end{pmatrix}\,\middle|\,m\in\mathbb Z\right\}.$It is a non-matrix three-dimensional Lie group.

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Lie groups are smooth manifolds. They may or may not have matrix representations. For example, the universal cover of $\mathbf{SL}_2(\mathbf{R})$ is a Lie group that is not a matrix Lie group.