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We can say it is, but we can never prove it. That's the paradox.

Well it depends on what you're describing, if you mean infinite as a math concept, then you don't need to prove it, in the same way you don't need to prove a "1" is actually a "1", you just say it's a "1" and use it in a problem.

If you mean infinite in our physical reality, like space being "infinite," the laws of physics don't allow that.