How would I express an interval between two imaginary numbers?

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For example, how would I say "between -i and i"?

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Let the set that contains all points between $-i$ and $i$ is $S$, then we can write$$S=\{i\cdot r|r\in(-1,1)\}$$

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The line segment ranging from a point $u$ to a point $v$ is the set of points:

$$\{u\cdot t + v\cdot (1-t)~:~t\in [0,1]\}$$

This is true for all vector spaces over the reals, including complex numbers.