After Hölder proved his classical theorem about the Gamma function, there has been a whole bunch of results showing that solutions to linear difference equations tend to be hypertranscendental (i.e., they cannot be solution to an algebraic differential equation). In this paper, we obtain the first complete results for solutions to general linear difference equations associated with the shift operator x → x + h (h ∈ C *), the q-difference operator x → qx (q ∈ C * not a root of unity), and the Mahler operator x → x p (p ≥ 2 integer). The only restriction is that we constrain our solutions to be expressed as (possibly ramified) Laurent series in the variable x with complex coefficients (or in the variable 1/x in some special case associated with the shift operator). Our proof is based on the parametrized difference Galois theory initiated by Hardouin and Singer. We also deduce from our main result a general statement about algebraic independence of values of Mahler functions and their derivatives at algebraic points.