An open set is clearly a $G_{\delta}$ set. A closed interval $[a,b]$ is a $G_{\delta}$ set as an intersection of the open intervals $(a-\frac1n,b+\frac1n)$ for all positive integers $n$. What is an example of a set that's not $G_{\delta}$?
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The set $\Bbb Q$ of rational numbers is not a $G_\delta$ set; you can find several proofs here.

Brian M. Scott
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It can be shown using something called the Baire Category Theorem that the set of all rational numbers is not a $G_{\delta}$ set.

Zarrax
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