It depends on the screen, but in plasma and CRT screens, the phosphor (light-emitting substance) is slowly degraded by electron bombardement, in OLED displays the current damages the organic molecules, and in LCDs a constant activation makes the liquid crystals worse at returning to the deactivated state. On a screen which displays many different things, this degradation affects the whole screen pretty evenly, but if it displays the same image for months or years, the damage forms a visible pattern.
Edit: regular LEDs also dim with use, so those displays can be burnt in as well. When fuel got expensive enough for the price to start with a 2 instead of a 1 in my country, big gas station seven segment LED displays had the previously unused segments in the number 2 shining much brighter than the rest.
Screens are grids of things called “pixels,” which are the little tiny unit of light. Each pixel has red, green, and blue color.
Pixels are not infinitely reusable. They can wear out from being used too much, like any electronic device. When specific pixels all get worn out very heavily in the same way over and over for a long time, they get damaged, so they don’t display colors correctly anymore. When that happens, you will see a “ghost” of whatever image was displayed on screen too frequently. That image is thus “burnt” into the display, and won’t go away. Some types of mild burn in can be adjusted for, but most of the time, once an image is burnt into the display, it’s burnt in forever and there’s nothing you can really do about it.
Sometimes, burn in can be so dramatic that it actually leaves a permanent, visible image even when the display is turned off. This doesn’t usually happen with LCD or LED TVs, but it’s possible with the old CRT displays.
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