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Nancy J. Kirkendall

The purpose ofthis project was to analyze daily email counts by component for the Executive Office of the President. A particular focus of the analysis was to identify days or groups of days with unusually low email counts.

The data are unduplicated counts of the number of emails sent (one count for each message sent from EOP), received (one message counted for each EOP receiver of a message), and total email counts (the sum of sent and received) observed consecutively over a period of almost 5 years. The EOP's PIVIT analysis, documented elsewhere, was the approach used to create unduplicated message counts. Data observed consecutively over time are typically well modeled by a time series modeling approach known as autoregressive integrated moving average or ARIMA models. PROC ARIMA in the statistical analysis system (SAS System) was used for this analysis.

Modeling Daily Email Counts

Let XI,} represent the number of emails by component j on day t, for t=1 to n where t =1 for the day the component was switched to exchange server and t=n, for Dec 31, 2007. (Separate models were developed for emails sent, emails received, and total.) Figures 1 through 12 show plots of the Total email messages for the 12 components from January 1,2003 through December 30, 2007. Only values for Tuesday, usually the day with the highest email traffic counts, and Saturday, usually the day of the week with the lowest email counts are shown. These graphs highlight the extreme difference between weekdays, when most staff are at work, and weekends when few people are at work. For both Tuesdays and Sundays, the extreme low observations are likely to be holidays, or other days when few staff are present at work. The high impact of day of week, holidays, and other days when few staff are present at work motivated the decision to use regression indicator variables in conjunction with a time series model.

A log transform was used so that the coefficients of the indicator variables can be interpreted as fractional increase or decrease due to the event specified by the indicator variable. This treatment is especially useful if the data show a trend.

One is added to the email count prior to taking a log so that the log function is well defined even if there is a zero day for a component.

Modeling is based on a combination of regression and time series methods, both of which can be simultaneously estimated using PROC ARIMA in SAS. Modeling proceeds in three steps:

1. Selecting the appropriate level of differencing

2. Defining the regression function (indicator variables);

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3. Selecting autoregressive and moving average parameters.

The main purpose of the modeling is to identify "outliers" - observations that do not seem to fit the model structure and level shifts, changes in the average level of email activity that extend for 2 or more days. Outliers that are explained by known events, such as days when few people are at work or system outages will be incorporated into the model by augmenting the indicator function list.

Differencing

In fitting the model several alternative formulations were considered: 1) First differencing; 2) Seasonal differencing (period 7, to account for weekly variation); and 3) First and seasonal differencing. With the third option (both first and seasonal differencing), estimation failed for most components. Hence this option was dropped. Adequate models were achieved for both of the first two options. For most components, the second option had somewhat lower Akaike Information Criterion (AIC) than the first option - indicating that it was the better of the two options. Hence the second option was used for the outlier analysis. With the first option, input variables are used to explain a constant day-of-the-week effect.

The Regression Function

The regression part of a model that includes seasonal differencing in ARIMA consists only of the indicator variables that explain the impact of Federal holidays and other dates when it is known that fewer staff than usual will be at work. This part of the regression model is called gk(t), and is defined in the following section. Here k refers to the phase of the modeling effort. The dates associated with holidays, and other non or low work days are provided in Attachment I.

Holidays and other non-work days - Phase I

There are 10 federal holidays each calendar year. Each of these is represented by an indicator function of the following form: Iholiday (t)=O, unless t is the date of a federal holiday, in which case it is equal to 1. The federal holidays are: Martin Luther King Day, President's Day, Memorial Day, Independence Day, Labor Day, Columbus Day, Veterans Day, Thanksgiving Day, Christmas, and January 1. The exact dates of the Federal holidays were found on the OPM website.

The other occasions during this time period when Federal employees received a day off are the following: Inauguration day, January 20, 2005; funerals for Presidents Ford and Reagan, 11

June 2004 and 2 January 2007; and executive orders due to the weather or other extra days-off. There was a snow day on February 18,2003, there were two days for hurricane Isobel on September 18 and 19,2003, and Federal staff were given an extra day at Christmas on December 26, 2003 and on December 24, 2007. There are three indicator variables: one for inauguration

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day, one for funerals, and one for executive orders. Each has the same form, the indicator is equal to zero except for the day (days) of the event. For those days it is equal to 1.

With these definitions, the regression indicator model has the following form:

g] (t) = d]MLKt + d, Pr eSt + d.Memorial, + d Jndep, + d.Labor, + d.Columbus, + d.Veterans + d.Thanks, + d.Xmas, + dJONewyeart + dlllnaugerationt + d]2Funeralt + dJ3Execorder

Other Likely Low-Attendance Days - Phase II

As part of Phase 2, other days when Federal employees are granted administrative leave, or are likely to take leave are also identified and incorporated into the model as indicator variables.

Included are: a regular work day that falls between a holiday and a weekend (January 2,2004 and July 3,2006, variable called Prepost), a Christmas that falls on a weekend (Dec 25 2004 and Dec 252005, variable called Xwkend), and the Friday following Thanksgiving (variable called Fthanks). These variables are defined as above, equal to zero unless t corresponds to the specified date or dates, in which case it is equal to 1.

The regression term including the original holiday variables as well as the new indicator variables is

Other Possible Low-Attendance Days - Phase III

Federal employees are under a liberal leave policy during bad weather that is not bad enough to close the government. The indicator variable, Liberal_Leave was used to model the impact of such days. System outages were known to occur from xxx to yyy, and an indicator variable was defined to account for them. Finally, it was observed that many component-low days coincided with system-low days. The system-low days were included as an indicator variable to account for this correlation. The hypothesis is that what ever caused system-low days also caused component-low days. This hypothesis is being tested by analyzing the system messages on low days.

Day of Week

When only first order differencing is used for ARIMA modeling the regression part of the model is augmented with indicator variables to explain day-of-the week variation.

There are 6 day of the week indicator functions, each defined as follows. For Monday through Saturday, the indicator functions are defined to be equal to zero unless ift falls on that day of the week, in which case it is 1. If t falls on a Sunday, then each indicator function is equal to -1. For example Mont = 0 ift falls on Tuesday, Wednesday, Thursday, Friday or Saturday. If t falls on

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a Monday, Mont = 1. If t falls on a Sunday, Mont = ~ 1. With this definition, the day of the week regression function is

With the indicator variables defined this way, e] reflects the impact of Monday on email counts. e2 reflects the impact of Tuesday, and so on. The impact of Sunday is defined to be

This reflects the constraint that the sum of the day of the week coefficients over any 7 days is equal to zero. This framework allows the constant in the time series model to be estimated thereby explaining any growth or decline in the number of emails by component over time.

The regression function used in the ARIMA first difference model is the sum of the day of week regression function and the appropriate holiday regression function.

Table 1 shows the additive coefficients, el through e7, estimated from the data.

Interpretation of coefficients

The estimated coefficients for each indicator variable add (or subtract) from the log of email counts for the day (or days) the indicator is equal to 1. The day of week coefficients should be positive for weekdays and negative for weekends. The holiday coefficients should all be negative because they reflect days when fewer federal staff would be at work. A convenient way to think about the impact of indicator functions is to transform back to the original units.

If Zt,j = log(xt,j + 1) = gk (t) + N] (t)

and

When an indicator function is equal to zero, the multiplicative component in the above expression is eO = 1 and there is no impact on email counts. When an indicator function is equal to 1, the multiplicative component in the above expression is ed; where d, is the estimated coefficient for the ith holiday or day-off indicator functions. The constant ed; represents the

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factor by which email counts are reduced by the particular holiday or day-off. Table 3 shows the estimated multiplicative holiday effects for all components. These coefficients are estimated using a seasonal differencing model with the structure defined below.

A similar analysis can be done with the day-of-week coefficients. 1ft falls on a Wednesday, for example, the indicator functions for all other days of the week will be zero, and the indicator function for Wednesday will be 1. Hence

The number, e'' ,reflects the relative quantity of email expected to fall on a Wednesday. Table 2 shows the estimated multiplicative day of the week coefficients. These coefficients were estimated using a first differencing ARIMA model with the structure defined below.

Selecting AR and MA parameters

The regression part of the two models can be written as follows:

if seasonal differencing is to be used.

And

if seasonal differencing is not used. The functions gk(t) and hk(t) consist of the two sets of indicator functions defined above.

In these models, NJ (t) and N2 (t) are noise terms. However, unlike usual regression equations, these are not assumed to be independent and identically distributed. Instead we assume that they have a time series structure that will be modeled with ARIMA.

The same model was specified and parameters were estimated for each of the 12 components.

The first difference models have the following form

where B indicates the backshift operator. (BYt = Yt-l)

The seasonal difference models have the following form

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In the above equations, the "noise terms", at ., are assumed to independent and identically

,J

distributed. They are also assumed to follow a normal distribution. For purposes of this analysis, no effort was made to fine tune the model for each component. No effort was made to remove parameters that were not significantly different from zero, and no effort was made to better explain small but significant longer term peaks in the autocorrelation function and partial autocorrelation functions of the residuals. These models were used because they seemed to be adequate for the purpose of identifying outliers and level shifts - observations that do not fit the model structure, and temporary shifts in the level of the time series.

Identifying Outliers

Two methods were used to identify low days. The first considered only outliers, the second considered both outliers and level shifts.

Outliers Only

The model residuals are the one-step ahead forecast errors. They have a mean of zero. For this analysis an observation was called an "outlier" if its residual was greater than 3 standard deviations in absolute value. The residuals divided by their standard deviation follow a student t distribution. However the sample size for this project is so large that residuals can be assumed to follow a normal distribution. The probability of observing normal random variables outside of 3 standard deviations from the mean is .0026 (.0013 positive and .0013 negative). So we would expect to see only about one quarter of one percent of the observations greater than 3 standard deviations.

With 5 full years of data there are 1825 observations, with 4 full years of data there are 1460. There are different numbers of years by component because of the phased switch to exchange server.

For 5 full years of data that follow a normal distribution we would expect to see about 5 residuals that are further than 3 standard deviations from the mean. With 4 full years of data we would expect to see about 4 observations further than 3 standard deviations from the mean.

With this data set we are seeing approximately 20 residuals per component that are more than 3 standard deviations from the mean. The fact that there are more residuals outside 3 standard deviations than expected could mean there are variables that need to be included in the model, or it could mean simply that the residuals are not normally distributed. Our work has focused on looking for events (days off, system outages, etc.) that are not now included in the model, but that could be included. The hope is that eventually, we will have fewer residuals outside 3 standard deviations from the mean, so that the distribution of residuals is closer to a normal distribution

Outliers and Level Shifts

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The second method of identifying outliers makes use of the outlier feature of PROC ARlMA. This procedure allows one to identify additive outliers or single observations that do not fit the model (the same type identified using the first method), and a level shift or point where the mean of the series shifts up or down significantly.

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by CREW

On September 25, 2007 Citizens for Responsibility and Ethics in Washington (CREW) filed a lawsuit against the Executive Office of the President, the Office of Administration and the National Archiv...

On September 25, 2007 Citizens for Responsibility and Ethics in Washington (CREW) filed a lawsuit against the Executive Office of the President, the Office of Administration and the National Archives and Records Administration in the District Court for the District of Columbia. CREW's action challenges as contrary to law those parties' knowing failure to recover, restore, and preserve millions of electronic communications created and/or received within the White House. The lawsuit stems from the millions of e-mails that were improperly deleted from White House servers and exist on back-up tapes, if at all.; FOIA Request: CREW versus EXECUTIVE OFFICE OF THE PRESIDENT ET AL (Lawsuit); Holder of Document: CREW; Producing Agency: Executive Office of the President; Date Received: 4/1/2010;

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