In general, every time you buy something or browse a site where you have logged in on multiple devices your user agent details are stored for each device (and generally sold). There is an inherent uniqueness to much of the UA details stored. That combined with your browsing habits allows companies to collect this data from multiple sources and then resell it as targeted ad marketing. So if you use multiple devices they can still track and target you as a person instead of a device. The advantage of this method and others like it, is there is no dependency on cookies or other things that can cause cross site issues. Content providers use this data to advertise you things which you might have an interest on based on content you have consumed, hence your sanitary napkins ad.

You can check out companies like Geocommerce, they do location based targeting, but also follow the user from device to device.

There are other methods as well, just giving you one data point. My knowledge comes from having done it, and yes I glossed over a lot of the details.

Some other methods to fingerprint a device:

TCP Headers SSL Cookies language headers fonts

Different browsers will render the same page in different ways which results in resources being loaded differently, you can detect this. They will also send different headers for different types of content, for example a picture could be byte served html generally isn't.

You can easily detect if its a mobile device and then ignore ip but instead track an ip range.

There are lots more ways to track a device online without cookies or IP, its fairly easy. The devices are often connected by sharing a login or an ip if both are on your wifi. Once the connection is made between devices its never forgotten.

I mentioned that in my essay/overview BTW.