Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 2 / 12F / i

For fixed $t$, let $B$ have the binomial distribution with parameters $m,t$. The Bernstein polynomial is $f_m(t)=\mathbb{E}[f(B/m)]$. Continuity on the compact interval gives uniform continuity and a finite bound $M=\Vert f{\Vert }_{\infty }$.

Given $ϵ>0$, choose $\delta >0$ so $|f(s)-f(t)|<ϵ$ whenever $|s-t|<\delta$. Since $\mathbb{E}[B/m]=t$ and $\mathrm{Var}(B/m)=t(1-t)/m\le 1/(4m)$, Chebyshev's inequality givesThe bound is independent of $t$, including both endpoints. Taking the supremum and then letting $m$ tend to infinity proves $f_m\to f$ uniformly on $[0,1]$. This provides the required polynomial-approximation theorem with its proof.