Movies for the Visualization of MCMC Output

Past work on visualization methods for Markov chain Monte Carlo analyses leaves many open questions. Particular difficulties arise when the researcher wishes to monitor several aspects of the chain's behavior jointly. We propose a movie, which is an extension of the basic trace plot used for a single parameter, as a dynamic way of assessing the progress of a chain and monitoring the joint posterior distribution. This idea is demonstrated on several examples, including a multiple changepoint problem with data from a corbelled tomb (tholos) in Stylos, Crete.