The book I am reading (General relativity, Robert M.Wald, page 12) says that "space-time itself does not (as far as we know), naturally live in a higher dimensional Euclidian space."
My question is how is it possible for an m-dimensional manifold not to lie inside a higher dimensional Euclidian space? How can I, for example, construct a $1$-manifold that is not contained in $\mathbb{R}^2$? This seems very counter-intuitive.
Since an Euclidian space is just characterized by its metric or dot product (or so I assume), then can we say that any manifold for which the metric does not hold does not live inside said Euclidian space?