Yes. Here's how:
Install the Azure Monitor Add-on https://github.com/Microsoft/AzureMonitorAddonForSplunk/wiki (don't forget to get the node.js and Python dependencies)
Setup all your Azure stuff (Event Hubs, Azure AD applications, Key Vault, SPNs)
Easy way = run a script -> https://github.com/microsoft/AzureMonitorAddonForSplunk/tree/master/scripts
Manual way = https://www.splunk.com/blog/2018/04/20/splunking-microsoft-azure-monitor-data-part-1-azure-setup.html
Send your Azure AD sign-in and audit logs to an Event Hub
Modify your hubs.json file in the add-on -> https://github.com/microsoft/AzureMonitorAddonForSplunk/wiki/Configuration-of-Splunk#hubsjson
Basically, after you enable the Azure AD logs going to an event hub, check the event hubs in the Azure portal for the name of the actual hub(s). It will be something like insights-logs-signinlogs and insights-logs-auditlogs
Setup and Azure Monitor Diagnostic Logs input on the Splunk instance where you installed the Azure Monitor add-on
Done
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