When a sentence starts with e.g., should the e be capitalized?
Neverminding that it might be better to start with "For example," ... Thinking of SE posts and comments, should the starting e be capitalized?
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Yes. Sentences start with capital letters; abbreviations are no exception.
A possible* exception is when a proper name starts with a lower case letter. E.g., if I changed my name to matthew then "matthew is awesome." would be correct. This is because the word is intended to be lower case. E.g., on the other hand, has no such association with it.
* Don't make an exception. This is just playing devil's advocate. See comments.