You do not pre-initialize seg, so it is growing as you execute your loop. You start with i = 1 and assign something to seg(i,:) . That would assign to seg(1,:) the first time, so your seg is going to start out as a single row. You then pass that single row to arburg(), but arburg() requires at least 5 rows to work on, so it fails.
If you somehow succeeded on that first call, then you would go to the next iteration of the loop and would assign to seg(i,:) which would be seg(2,:) so you would be growing seg to two rows, and passing that to arburg(), which would then be processing not only this new row but the previous row. You would thus be incrementally refining your coefficients as you want through the entire EEG, first output based upon the first segment, second output based upon the first two segments, third output based upon the first three segments, and so on. Are you sure that is what you want?
I suspect you want to populate the seg matrix completely before calling arburg()