A subset of $\mathbb{R}^n$ is

- $G_\delta$ if it is the intersection of countably many open sets
- $F_\sigma$ if it is the union of countably many closed sets
- $G_{\delta\sigma}$ if it is the union of countably many $G_\delta$'s
- ...

This process gives rise to the Borel hierarchy.

Since all closed sets are $G_\delta$, all $F_\sigma$ are $G_{\delta\sigma}$. What is an explicit example of a $G_{\delta\sigma}$ that is not $F_\sigma$?