Joint distribution of random vector and a linear combination of it If $\mathbf{X} \sim  \mathcal{N}_n(\mathbf{\mu}, \mathbf{\Sigma})$, what is the joint distribution of $(\mathbf{X}, \sum_{i=1}^n c_i X_i)$ where $c_i$ are constants?
I've tried to work this out, but haven't managed it so far.
Thanks for any help,
Jack
 A: For an affine transformation of a random vectors, the following rules apply. Let $\mathbf{X}$ be the $n\times 1$ column vector with random variables $X_1, X_2, \ldots, X_n$ as its elements. Let $\mathbf{a}$ and $\mathbf{b}^T$ be given matrices of size $k\times 1$ and $k\times n$ then
$$
  \mathbf{Y} = \mathbf{a} + \mathbf{b}^T \mathbf{X}
$$
is a random vector of size $k\times 1$. Now let $\boldsymbol{\mu} = \text{E}[\mathbf{X}]$ and $\boldsymbol{\Sigma} = \text{Cov}[\mathbf{X}]$, then the corresponding mean and covariance matrix of $\mathbf{Y}$ are
\begin{align*}
   \text{E}[\mathbf{Y}] & = \mathbf{a} + \mathbf{b}^T \text{E}[\mathbf{X}] =  \mathbf{a} + \mathbf{b}^T \boldsymbol{\mu} \\
  \text{Cov}[\mathbf{Y}] & = \mathbf{b}^T \text{Cov}[\mathbf{X}] \mathbf{b} = \mathbf{b}^T \boldsymbol{\Sigma} \mathbf{b}
\end{align*}
In your case, the transformation from $\mathbf{X}$ to the column vector 
$$ 
  \mathbf{Y} = [X_1\ X_2\ \ldots\ X_n\ \sum_{j=1}^n c_jX_j]^T
$$
is obtained with
$$
   \mathbf{a} = \mathbf{0} \qquad \mathbf{b}^T = \begin{bmatrix} \mathbf{I}_n \\ \mathbf{c}^T \end{bmatrix}
$$
where $\mathbf{c}^T = [c_1\ c_2\ \ldots\ c_n]$. So that gives
\begin{align*}
  \mathbf{Y} & = \begin{bmatrix} \mathbf{I}_n\\ \mathbf{c}^T \end{bmatrix} \mathbf{X}\\
  \text{E}[\mathbf{Y}] & = \begin{bmatrix} \mathbf{I}_n\\ \mathbf{c}^T \end{bmatrix} \boldsymbol{\mu} 
               = \begin{bmatrix} \boldsymbol{\mu} \\ \mathbf{c}^T \boldsymbol{\mu} \end{bmatrix}\\
  \text{Cov}[\mathbf{Y}] & = \begin{bmatrix} \mathbf{I}_n\\ \mathbf{c}^T \end{bmatrix} \boldsymbol{\Sigma} \begin{bmatrix} \mathbf{I}_n & \mathbf{c} \end{bmatrix} 
                 = \begin{bmatrix} \boldsymbol{\Sigma} & \boldsymbol{\Sigma}\mathbf{c} \\
                                   \mathbf{c}^T \boldsymbol{\Sigma} & \mathbf{c}^T\boldsymbol{\Sigma}\mathbf{c}\end{bmatrix}
\end{align*}
We can conclude that $\mathbf{Y}$ is multivariate normal with expectation and covariance matrix given above. An important issue here, as already indicated by @gunes, is that $\text{Cov}[\mathbf{Y}]$ is not positive definite, even if $\boldsymbol{\Sigma}$ is. That means the joint distribution of $\mathbf{Y}$ is "degenerate" in the sense that its values only occupy a subspace of dimension $n$ (or less if $\boldsymbol{\Sigma}$ is also not positive definite) instead of $n+1$. 
A: The last variable is linearly dependent on the first $n$. Let the joint PDF of the original random vector be $f_{\mathbf{X}}(\mathbf{x})$. And, denote the new PDF as $f_{\mathbf{X}_y}(\mathbf{x},y)$. Then, since the linear relation between $x_i$ and $y$ must hold:
$$f_{\mathbf{X}_y}(\mathbf{x},y)=f_\mathbf{X}(\mathbf{x})\delta\left(y-\sum_{i=1}^n x_i\right)$$
The dirac-delta is there in order to enforce the linear dependence. If the linear relation doesn't hold, the PDF is $0$.
