[step:Prove the critical case of $n+2$ convex sets using Radon's theorem]Assume $m=n+2$. For each $i \in \{1,\dots,n+2\}$, define the index set
\begin{align*}
I_i := \{1,\dots,n+2\} \setminus \{i\}.
\end{align*}
Since $|I_i|=n+1$, the hypothesis gives
\begin{align*}
\bigcap_{j \in I_i} C_j \neq \varnothing.
\end{align*}
Choose a point $x_i \in \bigcap_{j \neq i} C_j$ for each $i \in \{1,\dots,n+2\}$.
Apply Radon's theorem (citing a result not yet in the wiki: Radon's Theorem) to the finite set of points $\{x_1,\dots,x_{n+2}\} \subset \mathbb{R}^n$. There exist nonempty disjoint subsets $A,B \subset \{1,\dots,n+2\}$ with
\begin{align*}
A \cup B = \{1,\dots,n+2\}
\end{align*}
and a point $y \in \mathbb{R}^n$ such that
\begin{align*}
y \in \operatorname{conv}\{x_i : i \in A\}
\cap
\operatorname{conv}\{x_i : i \in B\}.
\end{align*}
We prove that $y \in C_k$ for every $k \in \{1,\dots,n+2\}$. Fix such a $k$. Since $A$ and $B$ are disjoint and cover $\{1,\dots,n+2\}$, either $k \notin A$ or $k \notin B$. If $k \notin A$, then for every $i \in A$ we have $i \neq k$, and the choice of $x_i$ gives $x_i \in C_k$. Since $C_k$ is convex,
\begin{align*}
\operatorname{conv}\{x_i : i \in A\} \subset C_k.
\end{align*}
Because $y \in \operatorname{conv}\{x_i : i \in A\}$, it follows that $y \in C_k$. If instead $k \notin B$, the same argument with $B$ in place of $A$ gives
\begin{align*}
\operatorname{conv}\{x_i : i \in B\} \subset C_k
\end{align*}
and hence $y \in C_k$.
Thus $y \in C_k$ for every $k \in \{1,\dots,n+2\}$, so
\begin{align*}
y \in \bigcap_{k=1}^{n+2} C_k.
\end{align*}
Therefore the theorem holds when $m=n+2$.[/step]