What's the hiring process for a director of advanced analytics?

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At what company? It's reasonable to assume that there will be a series of interviews, including a technical one, just about anywhere you go.

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I would expect quite a few round and a lot of grilling - it'll vary depending on the role and salary though

You should be doing rounds with some technical assessment as G1 said. You will also want to speak to the "director" side of things. They'll ask you things about how you manage projects and relationships, and what you prioritize in terms of data, what other things you consider when you are working with a company in this role. I always walk through in my head what would I be doing and how would I be doing it and why before I get in the room so that I have almost imagined myself doing the job and then simply explaining what that entails.

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