How do javascript services like callbackhunter or Yandex.metrics work?

Question

JavaScript

I know that to use the service, the user needs to insert a javascript code into his page, he connects a javascript file located on the callbackhunter's server (for example), but my whole question is to transfer data from the user's site to the service itself. Cross-domain requests are not a very good thing, tell me how in this case information is exchanged between the service server and the client site.