/-- If two finite measures `μ` and `ν` are not mutually singular, there exists some `ε > 0` and
a measurable set `E`, such that `ν(E) > 0` and `E` is positive with respect to `μ - εν`.

This lemma is useful for the Lebesgue decomposition theorem. -/
theorem exists_positive_of_not_mutuallySingular (μ ν : Measure α) [IsFiniteMeasure μ]
    [IsFiniteMeasure ν] (h : ¬μ ⟂ₘ ν) :
    ∃ ε : ℝ≥0, 0 < ε ∧
      ∃ E : Set α,
        MeasurableSet E ∧ 0 < ν E ∧ 0 ≤[E] μ.toSignedMeasure - (ε • ν).toSignedMeasure := by
  -- for all `n : ℕ`, obtain the Hahn decomposition for `μ - (1 / n) ν`
  have :
    ∀ n : ℕ, ∃ i : Set α,
      MeasurableSet i ∧
        0 ≤[i] μ.toSignedMeasure - ((1 / (n + 1) : ℝ≥0) • ν).toSignedMeasure ∧
          μ.toSignedMeasure - ((1 / (n + 1) : ℝ≥0) • ν).toSignedMeasure ≤[iᶜ] 0 := by
    intro; exact exists_compl_positive_negative _
  choose f hf₁ hf₂ hf₃ using this
  -- set `A` to be the intersection of all the negative parts of obtained Hahn decompositions
  -- and we show that `μ A = 0`
  set A := ⋂ n, (f n)ᶜ with hA₁
  have hAmeas : MeasurableSet A := MeasurableSet.iInter fun n => (hf₁ n).compl
  have hA₂ : ∀ n : ℕ, μ.toSignedMeasure - ((1 / (n + 1) : ℝ≥0) • ν).toSignedMeasure ≤[A] 0 := by
    intro n; exact restrict_le_restrict_subset _ _ (hf₁ n).compl (hf₃ n) (iInter_subset _ _)
  have hA₃ : ∀ n : ℕ, μ A ≤ (1 / (n + 1) : ℝ≥0) * ν A := by
    intro n
    have := nonpos_of_restrict_le_zero _ (hA₂ n)
    rwa [toSignedMeasure_sub_apply hAmeas, sub_nonpos, ENNReal.toReal_le_toReal] at this
    exacts [ne_of_lt (measure_lt_top _ _), ne_of_lt (measure_lt_top _ _)]
  have hμ : μ A = 0 := by
    lift μ A to ℝ≥0 using ne_of_lt (measure_lt_top _ _) with μA
    lift ν A to ℝ≥0 using ne_of_lt (measure_lt_top _ _) with νA
    rw [ENNReal.coe_eq_zero]
    by_cases hb : 0 < νA
    · suffices ∀ b, 0 < b → μA ≤ b by
        by_contra h
        have h' := this (μA / 2) (half_pos (zero_lt_iff.2 h))
        rw [← @Classical.not_not (μA ≤ μA / 2)] at h'
        exact h' (not_le.2 (NNReal.half_lt_self h))
      intro c hc
      have : ∃ n : ℕ, 1 / (n + 1 : ℝ) < c * (νA : ℝ)⁻¹; refine' exists_nat_one_div_lt _
      · refine' mul_pos hc _
        rw [_root_.inv_pos]; exact hb
      rcases this with ⟨n, hn⟩
      have hb₁ : (0 : ℝ) < (νA : ℝ)⁻¹ := by rw [_root_.inv_pos]; exact hb
      have h' : 1 / (↑n + 1) * νA < c := by
        rw [← NNReal.coe_lt_coe, ← mul_lt_mul_right hb₁, NNReal.coe_mul, mul_assoc, ←
          NNReal.coe_inv, ← NNReal.coe_mul, _root_.mul_inv_cancel, ← NNReal.coe_mul, mul_one,
          NNReal.coe_inv]
        · exact hn
        · exact Ne.symm (ne_of_lt hb)
      refine' le_trans _ (le_of_lt h')
      rw [← ENNReal.coe_le_coe, ENNReal.coe_mul]
      exact hA₃ n
    · rw [not_lt, le_zero_iff] at hb
      specialize hA₃ 0
      simp? [hb, le_zero_iff] at hA₃ says
        simp only [CharP.cast_eq_zero, zero_add, ne_eq, one_ne_zero, not_false_eq_true, div_self,
          ENNReal.coe_one, hb, ENNReal.coe_zero, mul_zero, nonpos_iff_eq_zero,
          ENNReal.coe_eq_zero] at hA₃
      assumption
  -- since `μ` and `ν` are not mutually singular, `μ A = 0` implies `ν Aᶜ > 0`
  rw [MutuallySingular] at h; push_neg at h
  have := h _ hAmeas hμ
  simp_rw [compl_iInter, compl_compl] at this
  -- as `Aᶜ = ⋃ n, f n`, `ν Aᶜ > 0` implies there exists some `n` such that `ν (f n) > 0`
  obtain ⟨n, hn⟩ := exists_measure_pos_of_not_measure_iUnion_null this
  -- thus, choosing `f n` as the set `E` suffices
  exact ⟨1 / (n + 1), by 

Proof state:
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ✝ ν✝ μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
f : ℕ → Set α
hf₁ : ∀ (n : ℕ), MeasurableSet (f n)
hf₂ :
  ∀ (n : ℕ),
    VectorMeasure.restrict 0 (f n) ≤
      VectorMeasure.restrict (toSignedMeasure μ - toSignedMeasure ((1 / (↑n + 1)) • ν)) (f n)
hf₃ :
  ∀ (n : ℕ),
    VectorMeasure.restrict (toSignedMeasure μ - toSignedMeasure ((1 / (↑n + 1)) • ν)) (f n)ᶜ ≤
      VectorMeasure.restrict 0 (f n)ᶜ
A : Set α := ⋂ n, (f n)ᶜ
hA₁ : A = ⋂ n, (f n)ᶜ
hAmeas : MeasurableSet A
hA₂ :
  ∀ (n : ℕ),
    VectorMeasure.restrict (toSignedMeasure μ - toSignedMeasure ((1 / (↑n + 1)) • ν)) A ≤ VectorMeasure.restrict 0 A
hA₃ : ∀ (n : ℕ), ↑↑μ A ≤ ↑(1 / (↑n + 1)) * ↑↑ν A
hμ : ↑↑μ A = 0
h : ∀ (s : Set α), MeasurableSet s → ↑↑μ s = 0 → ↑↑ν sᶜ ≠ 0
this : ↑↑ν (⋃ i, f i) ≠ 0
n : ℕ
hn : 0 < ↑↑ν (f n)
⊢ 0 < 1 / (↑n + 1)

Next tactic:
simp