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A non-vanishing entropy production rate is one of the defining characteristics of any non-equilibrium system, and several techniques exist to determine this quantity directly from experimental data. The short-time inference scheme, derived from the thermodynamic uncertainty relation, is a recent addition to the list of these techniques. Here we apply this scheme to quantify the entropy production rate in a class of microscopic heat engine models called Brownian gyrators. In particular, we consider models with anharmonic confining potentials. In these cases, the dynamical equations are indelibly non-linear, and the exact dependences of the entropy production rate on the model parameters are unknown. Our results demonstrate that the short-time inference scheme can efficiently determine these dependencies from a moderate amount of trajectory data. Furthermore, the results show that the non-equilibrium properties of the gyrator model with anharmonic confining potentials are considerably different from its harmonic counterpart - especially in set-ups leading to a non-equilibrium dynamics and the resulting gyration patterns.