This is what I've fount in the MXNet's homepage.
***
## Build and install Apache MXNet (incubating) from source

To build and install MXNet from the official Apache Software Foundation signed 
source code please follow our [Building From 
Source](https://mxnet.cdn.apache.org/get_started/build_from_source) guide.

The signed source releases are available 
[here](https://mxnet.cdn.apache.org/get_started/download)

...



You will need to R v3.4.4+ and build MXNet from source. Please follow the 
instructions linked above.


***
affter compiling MXNet source (the worst case may take one or two days dealing 
with dependencies), you could install it with R by using:
***


### Install the MXNet Package for R

To install R and the devtools, run

```
sudo apt-get update
sudo apt-get install -y r-base-core r-cran-devtools libcairo2-dev libxml2-dev
```

`libxml2-dev` is required for the `roxygen2` dependency and `libcairo2-dev` is 
required for the suggested `imager` dependency.

To generate documentation, it is also required to install `roxygen2` .

```
R
> install.packages("roxygen2")
> Would you like to use a personal library instead?  (y/n) y
> Would you like to create a personal library ... to install packages into?  
> (y/n) y
```

Note: To successfully complete the next step, you need a personal R library. If 
you were able to run `install.packages("roxygen2")` above, you either had 
already, or you have successfully created a personal library just now.

To build and install the MXNet-R bindings, run:

```
make -f R-package/Makefile rpkg
```





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