How to eliminate “NA/NaN/Inf in foreign function call (arg 7)” running predict with randomForest

Your code is not entirely reproducible (there’s no running of the actual randomForest algorithm) but you are not replacing Inf values with the means of column vectors. This is because the na.rm = TRUE argument in the call to mean() within your impute.mean function does exactly what it says — removes NA values (and not Inf ones).

You can see this, for example, by:

impute.mean <- function(x) replace(x, is.na(x) | is.nan(x) | is.infinite(x), mean(x, na.rm = TRUE))
losses <- apply(losses, 2, impute.mean)
sum( apply( losses, 2, function(.) sum(is.infinite(.))) )
# [1] 696

To get rid of infinite values, use:

impute.mean <- function(x) replace(x, is.na(x) | is.nan(x) | is.infinite(x), mean(x[!is.na(x) & !is.nan(x) & !is.infinite(x)]))
losses <- apply(losses, 2, impute.mean)
sum(apply( losses, 2, function(.) sum(is.infinite(.)) ))
# [1] 0