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Complex Lie group without faithful real representations?

We know that for a matrix (linear) Lie group $G$, we define it to be a closed subgroup of $GL(n,\mathbb{C})$. But Lie groups are defined as manifolds in $\mathbb{R}^n$ for some $n$, in general. The question is that, do we know any Lie group which is not a matrix Lie group? Thank you very much.