A non-arithmetical set?

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A set is called arithmetical if it can be defined by a first-order formula in Peano arithmetic. I first encountered these sets when exploring the arithmetical hierarchy in the context of computability theory. However, I have not encountered any examples of sets that are not arithmetical.

Is there a canonical example of an non-arithmetical set?

Thanks!

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There are countably many first order formulas defining arithmetical sets. Let $\varphi_n$, $n\in\mathbb N$, be a list of those. Consider the set that contains a natural number $n$ iff $n$ is not contained in the set defined by the $n$-th formula.

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One example is the set of Gödel numbers for all true arithmetic sentences. If this was arithmetical, then Berry's paradox could be formalized and yield a contradiction.

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The usual examples are things like:

$0^{\omega}$ or anything bigger. Any arithmetically generic set. The set of ordinal notations or equivalently the indexes for computable well-orderings or even the indexes of well-founded computable trees.

I figured I'd add these because these are natural examples not merely a diagonalization.

Though the godel numbers of true statements of arithmetic is quite natural.