Robert Durst Says on HBO 'What the Hell Did I Do? Killed Them All' Subject of series "The Jinx" arrested in New Orleans a day before show ends.

 -- Robert Durst, the subject of both an HBO series and law enforcement scrutiny, asked himself off-camera in the closing moments of the final episode of the documentary that aired Sunday, “What the hell did I do?” before answering, “Killed them all, of course.”

Filmmakers asked Durst about similarities in handwriting in a letter he wrote and another linked to one of the killings to which he has been linked, The Associated Press reported, before he wore his microphone into the bathroom.

That’s when he apparently said to himself, "There it is. You're caught" and "What the hell did I do? Killed them all, of course."

The six-part HBO series "The Jinx: The Life and Deaths of Robert Durst" ended a day after Durst was arrested on a capital murder warrant issued by police in Los Angeles related to the death of his friend, Susan Berman, his attorney said today.

Durst, 71, was arrested by FBI agents Saturday afternoon at a New Orleans hotel, a day before the final episode of the HBO series aired, a law enforcement source briefed on the investigation told ABC News.

FBI agents believed Durst may have wanted to flee the country, possibly to Cuba, as he registered under an alias at the hotel, paid with cash, and was found with fake documents, said the source. According to nola.com, Saturday marked the first nonstop flight from New Orleans to Cuba since 1958.

The Los Angeles Police Department said today Berman's death has been under investigation since her body was found in her home on Christmas Eve in 2000.

"As a result of investigative leads and additional evidence that has come to light in the past year, investigators have identified Robert Durst as the person responsible for Ms. Berman's death," the LAPD said.

Durst appeared before a magistrate Sunday in New Orleans where he was ordered held without bond, according to the Orleans Parish Sheriff's Office. He has an extradition hearing scheduled for Monday.

"We will waive extradition in an attempt to expedite the process of getting into court in LA to answer and defend against the charges," Chip Lewis, Robert Durst’s attorney, told ABC News in a statement.

Durst's brother Douglas Durst said in a statement, "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."

HBO said in a statement, "We simply cannot say enough about the brilliant job that Andrew Jarecki and Marc Smerling did in producing The Jinx. Years in the making, their thorough research and dogged reporting reignited interest in Robert Durst's story with the public and law enforcement."

The New York real estate heir has made national headlines as a person of interest or suspect in three deaths since 1982.

Durst has denied killing Berman, but some believed he had a motive, allegedly wanting to silence her about the 1982 disappearance of his first wife, Kathleen Durst, another death he has been investigated for but never charged. Berman was about to meet with investigators in New York about the disappearance of Kathleen Durst before she died.

Kathleen was officially declared dead in 2001, and Durst has said he has no idea what happened to her.

Durst was also charged in the 2001 killing of a neighbor in Galveston, Texas, but he claimed self-defense and was later found not guilty.

Durst, who participated in 25 hours of interviews for the HBO series, declined to comment to ABC News about the series.

Get real-time updates as this story unfolds. To start, just "star" this story in ABC News' phone app. Download ABC News for iPhone here or ABC News for Android here. To be notified about our live weekend digital reports, tap here.