 Solution

For any $n\ge 0$, take $f_n=T_{n+1}$, the Chebyshev polynomial of degree $n+1$. It has $n+2$ alternating extrema of magnitude one on $[-1,1]$. The Chebyshev alternation theorem shows that the zero polynomial is best from ${\mathcal{P}}_n$, with error one. Since it also lies in ${\mathcal{P}}_{n-1}$ when $n\ge 1$,

Now suppose $f^{(n)}(x)>0$ throughout $[-1,1]$ and, contrary to the claim, $E_{n-1}(f)=E_n(f)$. A best $p\in {\mathcal{P}}_{n-1}$ would then also be best in ${\mathcal{P}}_n$. Its error $e=f-p$ would have $n+2$ alternating extrema by the alternation theorem, hence at least $n+1$ distinct zeros. Applying the Rolle theorem $n$ times gives a zero ofcontradicting positivity. Therefore