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
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 $n+1$.
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 $0$.
