You might not need to concatenate end result into contiguous array. Instead, keep appending to the list as suggested by Jon. In the end you'll have a jagged array (well, almost rectangular in fact). When you need to access an element by index, use following indexing scheme:
double x = list[i / sampleSize][i % sampleSize];
Iteration over jagged array is also straightforward:
for (int iRow = 0; iRow < list.Length; ++iRow) {
double[] row = list[iRow];
for (int iCol = 0; iCol < row.Length; ++iCol) {
double x = row[iCol];
}
}
This saves you memory allocation and copying at expense of slightly slower element access. Whether this will be a net performance gain depends on size of your data, data access patterns and memory constraints.