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Is it possible to configure the following automation?

Everytime I will type a sentence in which the last character is dot, colon or quotation mark it will change the next letter automatically to uppercase, so that I don't have to press the shift key?

The settings should apply to all desktop environement (XFCE, KDE, Gnome) and terminals. Sometimes you need to write lowercase after dot, so there could be some key that will suppress uppercase.

I noticed that mobile applications have this possibility.

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It makes sense for a handheld device, because they don't have a full size keyboard. It is a paint typing anything on them, and so the auto-capitalization is designed in to alleviates some of the burden (and really, simple text typing is all that ever gets done on a handheld device.. they aren't exactly flexible)... The best automation on a normal keyboard is called touch-typing.. There is nothing better or easier .. (and I doubt that there is anything to do what you want anyhow.. ) – Peter.O May 1 '11 at 20:43
@fred Have you got a link for that touch-typing application? Does it work in whole X window system? – xralf May 7 '11 at 14:06

Very doubtful that such a thing exists for all applications. You might find such a setting for OpenOffice and other word processors, but in general it's rarely useful and not doable.

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