I suspect you want 

    ## generate next filter order
    if i==1
      a[i] =  g  
    else
      a[i-1:-1:1] =   a[i-1:-1:1]-g*a[i-1:-1:1]  # **** this is my problem 
area*****
    end

a is first assigned as a Vector{Float64} of length p.  Then you did a=g 
which assigns a as a Float64 (this is bad for performance as well, since 
it's not type stable). Then you try to a[1] when i=2, but in Julia (unlike 
MATLAB, and I assume octave) that is not a valid access.  You want to make 
sure a stays as a Vector{Float64} the whole time, and while you can change 
the length if you want, you will probalby be better off if you keep it the 
same length as well.

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