How to Estimate a Normalized PSD Using the Burg’s Method in MATLAB?
The link to the paper is not working.

If you could show your code maybe we could help to correct it. 

With Fs=250Hz you will only be able to see frequencies up to 125Hz (Fourier transform theory). 

For using the pburg method you only need to provide the samples and the order of the model (usually the model order is the double of the number of spectral peaks).