for ii=1:10
     R1 = [1,2;3,4]; Matrix is always 2x2 but different values each iteration
     cov = blkdiag(R1);
end

[ R1,0,0,0...,
   0,R1,0,0...]

R1 = [1,2;3,4]; %// matrix to be copied
CurrentOut = R1; %// output
for ii = 1:10
    [A,B] = size(CurrentOut); %// get current size
    tmpout(A+2,B+2)=0; %// extend current size
    tmpout(1:A,1:B) = CurrentOut; %// copy current matrix
    tmpout(A+1:end,B+1:end) = R1; %// add additional element
    CurrentOut=tmpout; %// update original
end