Error when trying to install Rmpfr in R related to the header file mpfr.h

If using Amazon Linux, CentOS, or anything else that comes bundled with yum, do this:

sudo yum install mpfr-devel

You should install libmpfr-dev:

sudo apt-get install libmpfr-dev

(answer from the first, highly upvoted comment by @user3710546)