  Prediction in high dimensional settings is difficult due to large by number
of variables relative to the sample size. We demonstrate how auxiliary
"co-data" can be used to improve the performance of a Random Forest in such a
setting. Co-data are incorporated in the Random Forest by replacing the uniform
sampling probabilities (used to draw candidate variables, the default for a
Random Forest) by co-data moderated sampling probabilities. Co-data here is
defined as any type information that is available on the variables of the
primary data, but does not use its response labels. These moderated sampling
probabilities are, inspired by empirical Bayes, learned from the data at hand.
We demonstrate this co-data moderated Random Forest (CoRF) with one example. In
the example we aim to predict a lymph node metastasis with gene expression
data. We demonstrate how a set of external p-values, a gene signature, and the
correlation between gene expression and DNA copy number can improve the
predictive performance.
