As there are implications with searches and filter settings, I would not recommend doing this. Instead, I would create a new index with a similar name.
If you absolutely must rename an index, you could do so as follows (in 4.1.4 or earlier):
Create a new index with the name you want (manually in the indexes.conf file or GUI)
Stop Splunk
Move the $SPLUNK_DB/<old_index> directory to $SPLUNK_DB/<new_index>
Start Splunk
You will see that Splunk will create a new index in the old index location and use the old index with the new naming convention. After you confirm functionality, you can just delete the old index from Splunk and the system (even though it will be empty).
This might be another approach:
You would need to run this on your indexer and deployment server to change the inputs.conf.
Update files:
grep -Ril oldIndexName ${SPLUNK_HOME} | xargs -I{} perl -pi -e "s/oldIndexName/newIndexName/g" {}
Then change folder names (I don't have a good auto-way yet):
find ${SPLUNK_HOME} -depth -name oldIndexName
As there are implications with searches and filter settings, I would not recommend doing this. Instead, I would create a new index with a similar name.
If you absolutely must rename an index, you could do so as follows (in 4.1.4 or earlier):
Create a new index with the name you want (manually in the indexes.conf file or GUI)
Stop Splunk
Move the $SPLUNK_DB/<old_index> directory to $SPLUNK_DB/<new_index>
Start Splunk
You will see that Splunk will create a new index in the old index location and use the old index with the new naming convention. After you confirm functionality, you can just delete the old index from Splunk and the system (even though it will be empty).
TIP: Remember to update any references of the old index to the new index (inputs.conf from your forwarders).