NEW ORLEANS — The arrest of Robert Durst, a wealthy eccentric linked to two killings and his wife’s disappearance, came just before the finale in an HBO show about his life in which he said he “killed them all.”

In the finale that aired Sunday evening on HBO, Durst was asked about similarities in handwriting in a letter he wrote and another linked to one of the killings. Later, filmmakers said Durst wore his microphone into the bathroom.

What followed was a bizarre rambling in which Durst said, apparently to himself, “There it is. You’re caught” and “What the hell did I do? Killed them all of course.”

The show ended, and it wasn’t clear whether producers confronted Durst about the secretly recorded words, or what Durst meant by them.

FBI agents arrested Durst Saturday at a New Orleans hotel on a warrant from Los Angeles for the killing of a mobster’s daughter 15 years ago, authorities said.

Durst was ordered held without bond pending another hearing Monday. His lawyer, Chip Lewis, said Durst will agree to be taken to Los Angeles to face the first-degree murder charge.

Durst participated in the documentary, giving an extensive interview to filmmaker Andrew Jarecki for “The Jinx: The Life and Deaths of Robert Durst.”

Durst’s estranged and fearful relatives thanked authorities for tracking him down.

“We are relieved and also grateful to everyone who assisted in the arrest of Robert Durst. We hope he will finally be held accountable for all he has done,” said his brother, Douglas Durst.

DEATH OF MOBSTER’S DAUGHTER

Durst, 71, has always maintained his innocence in the 2000 murder of Susan Berman, whose father was an associate of Las Vegas mobsters Bugsy Siegel and Meyer Lansky.

Berman, a writer who become Durst’s spokeswoman, was killed at her home next to Beverly Hills with a bullet to the back of her head as New York investigators prepared to question her in the unsolved 1982 disappearance of Durst’s wife, Kathleen.

“The jig is up,” said former Westchester County District Attorney Jeanine Pirro, who had hoped Berman would help solve the disappearance. The documentary uncovered “evidence that law enforcement in three states wasn’t able to unearth,” added Pirro, who now hosts “Justice With Judge Jeanine” on Fox.

The climax of last week’s episode revealed a handwritten address on a letter, recovered by the slain woman’s relative, that Durst had sent to Berman. The handwriting seems virtually identical to an anonymous letter alerting Beverly Hills police to a “cadaver” in Berman’s home. Even the word “Beverly” is misspelled as “Beverley” on both documents.

Durst observes in the documentary that only Berman’s killer could have sent the letter to police.

Jarecki is then shown putting the other letter in a safe deposit box.

The Los Angeles police said the arrest resulted from “investigative leads and additional evidence that has come to light in the last year.”

LIVING AS A MUTE WOMAN

After Berman’s death, Durst moved to Texas, where he lived as a mute woman in a boarding house until his arrest in 2001 after dismembered parts of the body of his elderly neighbor, Morris Black, were found floating in Galveston Bay.

Durst then became a fugitive, until he turned up shoplifting a chicken sandwich, Band-Aids and a newspaper in Pennsylvania, even though he had $500 cash in his pocket and $37,000 in his rental car – along with two guns and marijuana.

Lewis told the jury that Durst shot Black in self-defense and suffered from Asperger’s syndrome. Despite admitting that he used a paring knife, two saws and an ax to dismember Black’s body before dumping the remains, Durst was acquitted of murder.

Durst still faced some consequences in Texas – in 2004 he pleaded guilty to bond jumping and evidence tampering, but with time served, he was paroled in 2005. Then, violating the terms of his parole, he returned to the boarding house where Black was killed, and had to serve another four months.

Durst “has been incredibly lucky that so many people who’ve investigated him have dropped the ball, but I think that luck may be running out,” said former Galveston County District Court Judge Susan Criss, who presided over the Texas murder trial.

Lewis defended Durst again in Texas after he inexplicably urinated on the candy display at the cash register of a CVS pharmacy in Houston last year. Durst paid a fine and compensated the store for what Lewis called an “unfortunate medical mishap.”

The Durst family is worth at least $4 billion, according to the Forbes list of richest Americans.

The oldest son of the late real estate mogul Seymour Durst, whose Durst Corp. manages 1 World Trade Center, Robert Durst became estranged from his family when his brother Douglas was chosen instead of him to run the family business.