Yes this is a special case of jagged arrays, one where one of the jagged dimension is multidimensional.
You should write something like this:
// Initialise 4 arrays of two dimensional arrays
byte[][,] data = new byte[4][,];
// Initialise the arrays
for (var i = data.GetLowerBound(0); i <= data.GetLowerBound(0); ++i)
data[i] = new byte[360, 258];
Of course you can invert the dimensions if you need it.
// Initialise 4 arrays of two dimensional arrays
byte[,][] data2 = new byte[360,258][];
// Initialise the arrays
for (var i = data2.GetLowerBound(0); i <= data2.GetLowerBound(0); ++i)
for (var j = data2.GetLowerBound(1); j <= data2.GetLowerBound(1); ++j)
data2[i,j] = new byte[4];