Thanks for your help and suggestions. We ended up using the collect method, as first presented. We could perhaps migrate or copy buckets on disk, but as we needed specific events from the index, that wouldn't work. Also, using some sort of scripts to automate the process seemed like too much work - there don't seem to be an easy way to do this in Splunk, and the scripts would have to keep track of if searches failed or is successfull as well, so it would be complicated to implement. In the end, someone had to "manually" run the collect search, bit by bit, backwards on time, over the whole big index. Run the collect search on a timeslot, then if successfull, run it on the previous timeslot, and so on.
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