Ok, I have been informed that the below lemma is incorrect. I needed it to prove the following statement. Could someone else provide a proof?
Statement: If m(E) is finite, there exists a compact set K with $K\subset E$ and $m(E-K)\le \epsilon$.
m(E) is the Lebesgue measure of set E.
Thanks!
Lemma: Let F be a closed subset of $\mathbb{R^d}$. Let $B_n(0)$ be a ball of radius n centered at the origin. Let $K_n=F\cap B_n$. Show $K_n$ is compact.
This is definitely false, for $F = \mathbb{R}^n$ you get $F \cap B_n = B_n$ which is not compact.
However, the closed ball $\overline{B}_n(0)$ is compact and the intersection between a compact and a closed set is always compact. Therefore $\overline{B}_n(0) \cap F$ is compact.
Another option would be to consider $\overline{F \cap B_n(0)}$. This set is closed and bounded since the closure of a bounded set is bounded aswell.