R plot time indexed densities This is pretty close from what I would like to do.

More precisely, I would like to represent graphically a sequence of inferences on time-indexed RVs $X_{t_i}$ by plotting at each time $t_i$ the density for $X_{t_i}$ (the horizontal axes representing the values taken by the $(X_{t_i})_i$ and all variables being homogeneous) at the vertical level $t_i$ (the vertical axis representing the time). I note that the inference relies on MCMC methods and thus my data are set of samples. I spent many times to find a solution on the web but did not manage to find it. If somebody knows how to do that and could help me, I will really enjoy it. 
 A: If you are willing to have your density estimates mirrored vertically (i.e., be violin plots), this is pretty straightforward with ggplot2 in R.  As you didn't post any sample data, I will use data(economics) from ggplot2:
library(ggplot2)   # for plotting
library(lubridate) # for getting year from dates in dataset
library(plyr)      # for getting annual mean easily

data(economics)    # sample dataset

# calculate year to group by using lubridate's year function
economics$year <- year(economics$date)

# get a subset 
subgrp <- economics[economics$year>2001&economics$year<2007,]    

# get the mean of each year
subgrp <- ddply(subgrp, .(year), mutate, mean=mean(unemploy))

# plot
ggplot(subgrp, aes(x=date, y=unemploy))+ 
    geom_violin(aes(group=year, colour=year, fill=year), alpha=0.5, 
    kernel="rectangular")+    # passes to stat_density, makes violin rectangular 
    xlab("Year")+             # label one axis
    ylab("Unemployment")+     # label the other
    coord_flip()+             # flip the axes so violin plots are sideways
    theme_bw()+                      # make background white
    theme(legend.position="none")+   # suppress legend for year colors
    geom_line(aes(x=date, y=mean,    # add a line for the mean 
        group=year),colour="purple")+
    geom_line(size=1.5)              # make line for monthly data


