I found this statement in another stackexchange post but couldn't get the $\mathfrak{so}(p,q,\mathbb{R}) \subseteq I_{p,q} \mathfrak{so}(n,\mathbb{R})$ direction. For the reverse, I could show that $\left(I_{p,q} x\right)^t I_{p,q} = - I_{p,q} \left(I_{p,q} x\right)$ (assuming $x\in \mathfrak{so}(n,\mathbb{R})$), but I'm stuck on getting from $x^t I_{p,q} = -I_{p,q} x$ to $x^t = -x$.
For reference, $I_{p,q}$ is defined as
$$\begin{pmatrix} I_p & 0_{p\times q} \\ 0_{q\times p} & -I_q\end{pmatrix}.$$
Any help would be appreciated.