The document discusses how to use a Kalman filter for brand tracking. It provides an example of tracking a brand's performance over time using observations with random measurement errors. Applying a Kalman filter separates the true signal from the noise by optimally combining observations with predictions based on the prior observation. This helps produce a smoothed trend line and clarify the brand's trajectory versus only looking at the raw observations. The document demonstrates how the approach can be applied to different types of brand tracking data.

1. October
2019
How to use a Kalman Filter in Brand Tracking?
Jane Tang
Webinar, 4
October 2019

2. #NewMR Sponsors
Communication
Gold
Silver
October
2019

3. How to use a Kalman Filter in Brand Tracking?
Jane Tang
jane.tang@bootstrapanalytics.com
3

4. FLY ME TO THE MOON:
The Application Of Kalman Filter To Tracking Data
Jane Tang, Andrew Grenville & Karen Buros
SAMPLING IN THE RIVER TWITTER:
A DIY Tool for Social Media Tracking via the REST API
Jack Horne & Jane Tang
Advanced Research Techniques Forum 2016 & 2017
4

5. - “Smooth” trajectory
- Periodical observations
- Random measurement errors
- Simple and flexible tool to optimally separate the signal from the
noise in the data
5
Tracking movement of
a spacecraft going to the moon
https://ieeexplore.ieee.org/document/5466132
Apollo Space Program
Tracking perception of a brand in the
minds of consumers
Brand Tracking

6. How Kalman Filter Works
http://bilgin.esme.org/BitsBytes/KalmanFilterforDummies.aspx
http://www.cs.unc.edu/~tracker/media/pdf/SIGGRAPH2001_CoursePack_08.pdf
!𝑋# = 𝐾# & 𝑋# + 1 − 𝐾# & !𝑋#*+
estimation at time t
Kalman gain
measured value estimation at time (t – 1)
State/prior equation
,𝑥# = .𝑥#*+ + 𝑤# → 𝑝 𝑤 ~𝑁 0, 𝑄
Measurement/update equation
.𝑥# = 𝑥# + 𝑣# → 𝑝 𝑣 ~𝑁 0, 𝑅
6

7. Equations Simplify to a Random Walk
!𝑋# = 𝐾# & 𝑋# + 1 − 𝐾# & !𝑋#*+
estimation at time t
Kalman gain
measured value estimation at time (t – 1)
Time update
“prediction”
,𝑥# = .𝑥#*+
(1) Prior for subsequent state
(2) Prior error covariance
9𝑃# = 𝑃#*+ + 𝑄
external shock
Measurement update
“correction”
random walk
(1) Compute the Kalman gain
𝐾# = 9𝑃#
9𝑃# + 𝑅
*+
random measurement error
(2) Update estimate
.𝑥# = ,𝑥# + 𝐾# 𝑥# − ,𝑥#
(3) Update error covariance
𝑃# = 9𝑃# 1 − 𝐾#random walk
7

8. A Simple Example
𝑡 𝑥# ,𝑥#
9𝑃# Time update Measurement update .𝑥# 𝑃#
1 0.390 0.000 1.000 ,𝑥< = 0
9𝑃< = 1
𝐾# = 9𝑃#
9𝑃# + 𝑅
*+
=1 1 + 0.1 *+
= 0.909
.𝑥# = ,𝑥# + 𝐾# 𝑥# − ,𝑥#
= 0 + 0.909 0.390 − 0 = 0.355
𝑃# = 9𝑃# 1 − 𝐾#
=1 1 − 0.909 = 0.091
0.355 0.091
2 0.500 0.355 0.092 ,𝑥# = .𝑥#*+ = 0.355
9𝑃# = 𝑃#*+ + 𝑄 = 0.092
𝐾# = 0.092 0.092 + 0.1 *+
= 0.479
.𝑥# = 0.355 + 0.479 0.5 − 0.355 = 0.424
𝑃# = 0.092 1 − 0.479 = 0.048
0.424 0.048
3 0.480 0.424 0.049 0.443 0.033
4 0.290 0.443 0.034 0.404 0.025
𝑅 = 0.1 variance around observations (best guess) 𝑄 = 0.001 external shock variance
8

9. A Simple Example
Value(x)
Time (t)
9

10. Size of the Measurement Error (R)
Value(x)
Time (t)
10

11. Detecting Trend
Value(x)
Time (t)
11

12. 12
† We have large, long-term (6+ years) tracking programs, carefully controlled wave-to-
wave, with trend lines like these. How clear is the story?
Continuing to gain ground?
Year 1.1Year 1.2Year 2.1 Year2.2 Year 3.1Year 3.2Year 4.1Year 4.2Year 5.1Year 5.2Year 6.1Year 6.2Year 7.1
Likelihood to Recommend
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
Yr 1A Yr 1B Yr 2A Yr 2B Yr 3A Yr 3B Yr 4A Yr 4B Yr 5A Yr 5B Yr 6A Yr 6B Yr 7A
Favorite
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
Stabilizing?
Losing steam?
The Truth: I Dread Tracking Data

13. 13
First, let’s standardize the results to the
baseline measurement
Then we can apply the Kalman Filter
80
90
100
110
120
130
140
150
160
Year 1.1 Year 1.2 Year 2.1 Year2.2 Year 3.1 Year 3.2 Year 4.1 Year 4.2 Year 5.1 Year 5.2 Year 6.1 Year 6.2 Year 7.1
Kalman Estimate Likely to Recommend: Ratio to Baseline
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
80
90
100
110
120
130
140
150
160
Year 1.1 Year 1.2 Year 2.1 Year2.2 Year 3.1 Year 3.2 Year 4.1 Year 4.2 Year 5.1 Year 5.2 Year 6.1 Year 6.2 Year 7.1
Observed Likely to Recommend: Ratio to Baseline
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
What’s happening here?
Can the Kalman Filter Clarify the Story?

14. 14
A More Detailed The Effect of the Filter?
† Kalman Filter for Competitors 2 and 3 – Softening the extremes
80
90
100
110
120
130
140
150
160
Year
1.1
Year
1.2
Year
2.1
Year2.2 Year
3.1
Year
3.2
Year
4.1
Year
4.2
Year
5.1
Year
5.2
Year
6.1
Year
6.2
Year
7.1
Likelihood to Recommend: Competitors 2 and 3
Observed 2
Estimated 2
Observed 3
Estimated 3

15. 15
Taking a Look at Favorite Brand…
We standardize the results to the baseline
measurement
Then apply the Kalman Filter
40
60
80
100
120
140
160
180
Year 1.1 Year 1.2 Year 2.1 Year2.2 Year 3.1 Year 3.2 Year 4.1 Year 4.2 Year 5.1 Year 5.2 Year 6.1 Year 6.2 Year 7.1
Observed Favorite: Ratio to Baseline
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
40
60
80
100
120
140
160
180
Year 1.1 Year 1.2 Year 2.1 Year2.2 Year 3.1 Year 3.2 Year 4.1 Year 4.2 Year 5.1 Year 5.2 Year 6.1 Year 6.2 Year 7.1
Kalman Estimate Favorite: Ratio to Baseline
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
Competitor 4 Suffers

16. 16
A More Detailed Look at Competitors 4 and 5
† Again, softening the extremes
40
60
80
100
120
140
160
180
Year
1.1
Year
1.2
Year
2.1
Year2.2
Year
3.1
Year
3.2
Year
4.1
Year
4.2
Year
5.1
Year
5.2
Year
6.1
Year
6.2
Year
7.1
Favorite: Competitors 4 and 5
Observed 4
Estimated 4
Observed 5
Estimated 5
KF provides a way to
simultaneously account
for ‘time’ (as an
alternative to ‘three
month rolling average’)
and measurement error.

17. 17
Can We Apply This Approach to Social Media Data?
† Social positive sentiment over the tracking
period
† Application of the Kalman Filter smooths the
trend lines a bit. Greater variation across time is
likely due to changing social media audience
creating the ‘sentiment’ values.
0.40
0.45
0.50
0.55
0.60
0.65
0.70
Year 1.1Year 1.2Year 2.1 Year2.2 Year 3.1Year 3.2Year 4.1Year 4.2Year 5.1Year 5.2Year 6.1Year 6.2Year 7.1
Social Media: Positive Sentiment
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6
0.40
0.45
0.50
0.55
0.60
0.65
0.70
Year
1.1
Year
1.2
Year
2.1
Year2.2 Year
3.1
Year
3.2
Year
4.1
Year
4.2
Year
5.1
Year
5.2
Year
6.1
Year
6.2
Year
7.1
Kalman Estimate: Positive Sentiment
Competitor 1
Competitor 2
Competitor 3
Competitor 4
Competitor 5
Competitor 6

18. 18
Running Average vs. Kalman Filter
Royal Bank, Olympic Sponsorship Awareness, Jan-Jun 2008 (pre), Jan-Jun 2010 (during), and Jan-Jun 2011 (post)

19. Incorporating Known System Instability
𝑡 𝑥# ,𝑥#
9𝑃# .𝑥# 𝑃#
1 0.390 0.000 1.000 0.355 0.091
𝑅 = 0.1 variance around observations (best guess) 𝑄 = 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒
𝑞#
0.001
2 0.500 0.355 0.092 0.424 0.0480.001
3 0.480 0.424 0.049 0.443 0.0330.001
4 0.290 0.443 0.034 0.404 0.0250.001
5 0.250 0.404 0.026 0.356 0.0310.020
6 0.320 0.356 0.031 0.340 0.0450.050
7 0.340 0.340 0.045 0.340 0.0590.100
8 0.480 0.340 0.059 0.397 0.0410.010
9 0.410 0.397 0.041 0.401 0.0300.001
9𝑃# = 𝑃#*+ + 𝑄
external shock
𝐾# = 9𝑃#
9𝑃# + 𝑅
*+
random measurement error
𝐾#
0.909
0.479
0.328
0.253
0.312
0.448
0.592
0.409
0.295
𝑃# = 9𝑃# 1 − 𝐾#
19

20. Incorporating Known System Instability
0.000
0.100
0.200
0.300
0.400
0.500
0.600
1 2 3 4 5 6 7 8 9 10
Observed Estimated with System Shock
Value(x)
Time (t)
Q
20

21. K
20K
40K
60K
19 26 2 9 16 23 2 9 16 23 30 6 13 20 27 4 11 18 25 1
NumberofTweetsmentioning“trump”
0
January 2017 February March April May
Incorporating Twitter Brand Mention in Brand Tracking
Twitter Brand mention is used as an indicator of
system instability.
“Buzz” brand equity volatility∝
9𝑃# = 𝑃#*+ + 𝑄
June
21

22. Tracking the “Trump” Brand
January 2017 February March April May
Trumpapprovalrating(SBA)
Total US Sample
June
38%
40%
42%
44%
46%
48%
50%
25 27 30 3 6 10 15 17 27 1 10 13 15 17 22 27 29 5 7 12 19 21 24 26 28 5 8 17 24 2 7
Raw KF - Constant KF w Twitter Updates
22

23. “Trump” Brand Tracking in Subpopulation
Trumpapprovalrating(SBA)
Midwest Female
January 2017 February March April May June
20%
30%
40%
50%
60%
25 27 30 3 6 10 15 17 27 1 10 13 15 17 22 27 29 5 7 12 19 21 24 26 28 5 8 17 24 2 7
Raw KF - Constant KF w Twitter Updates
23

24. THANK YOU!
jane.tang@bootstrapanalytics.com
24

25. 25
Q & A
Ray Poynter
Chief Research Officer
Potentiate
Jane Tang
Principal
Bootstrap Analytics

26. #NewMR Sponsors
Communication
Gold
Silver
October
2019