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Let $\mathbf{C}$ be a category and $\mathbf{J}$ be an index category. What does it mean to say that $\mathbf{C}$ is $\mathbf{J}$-complete? Is it just saying that all $\mathbf{J}$ shaped diagrams in $\mathbf{C}$ have a limit?

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Yes, this is exactly what it means. A category is $\mathbf{J}$-complete when it has all $\mathbf{J}$-shaped limits.