It is called an array initializer and can be explained in the Java specification 10.6.
This can be used to initialize any array, but it can only be used for initialization (not assignment to an existing array). One of the unique things about it is that the dimensions of the array can be determined from the initializer. Other methods of creating an array require you to manually insert the number. In many cases, this helps minimize trivial errors which occur when a programmer modifies the initializer and fails to update the dimensions.
Basically, the initializer allocates a correctly sized array, then goes from left to right evaluating each element in the list. The specification also states that if the element type is an array (such as it is for your case... we have an array of double[]), that each element may, itself be an initializer list, which is why you see one outer set of braces, and each line has inner braces.