For $X$ a space equipped with a $G$-connection on a bundle $\nabla$ (for some Lie group $G$) and for $x \in X$ any point, the parallel transport of $\nabla$ assigns to each curve $\Gamma : S^1 \to X$ in $X$ starting and ending at $x$ an element $hol_\nabla(\gamma) \in G$: the holonomy of $\nabla$ along that curve.
The holonomy group of $\nabla$ at $x$ is the subgroup of $G$ on these elements.
If $\nabla$ is the Levi-Civita connection on a Riemannian manifold and the holonomy group is a proper subgroup $H$ of the special orthogonal group, one says that $(X,g)$ is a manifold of special holonomy .
holonomy group
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