Statistical test for boundedness of mean

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I have $n$ i.i.d samples from a unknown distribution. I want to prove or disprove that the mean is bounded. Are there any statistical test for this hypothesis ?

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Try googling "statistical test finite moments" (without quotes); however, a statistical test will not "prove" or "disprove" the hypothesis. One such test, described at free links on the author's homepage (including R and MATLAB code), is Fedotenkov's boostrap test. See also that author's follow-up article.