Can $\log(1-U)-\log(U)+W$ be normally distributed, with $U$ uniform on $(0,1)$ and $W$ independent of $U$?

Consider some solution $Z=X+Y$, then the identity $$e^Z=e^X\cdot e^Y$$ involves only positive random variables hence the independence of $(X,Y)$ implies the identity in $(0,+\infty]$ that $$E(e^Z)=E(e^X)\cdot E(e^Y)$$ Now, $c=E(e^Z)$ is finite since $Z$ is normal, and $E(e^X)=+\infty$ because $e^xf_X(x)\to1$ when $x\to+\infty$ hence $x\mapsto e^xf_X(x)$ is not integrable on the real line. But the equation $$c=+\infty\cdot b$$ has no solution $b$ in $(0,+\infty]$, hence there is no random variable $Y$ independent of $X$ such that $Z=X+Y$ is normal.

This approach really proves a more general result:

Consider two distributions $\mu$ and $\nu$ such that $\int_\mathbb Re^xd\mu(x)$ is infinite and $\int_\mathbb Re^xd\nu(x)$ is finite. Then if $P_X=\mu$, there exists no $Y$ independent of $X$ such that $P_{X+Y}=\nu$.


There is no random variable $Y$ on $\mathbb{R}$, independent of $X$, for which $Z:=Y+X$ is normally distributed.

Notation

Capitalization denotes Fourier transformation, e.g. the Fourier transform of $f(t)$ is $$ F(s) := \int_{-\infty}^\infty e^{ist} f(t) \,dt $$ $A\propto_+ B$ means "$A$ is proportional to $B$ with positive constant." $f_X(t)$ is the PDF of the random variable $X$. Unless denoted otherwise, $\int=\int_{-\infty}^\infty$. The Mellin transform of $f(t)$ is denoted $\mathcal{M}[f(t)]$.

Proof

Suppose to the contrary that there exists a random variable $Y$ for which $Z$ is normally distributed, that is, for which the convolution $f_Y * f_X=f_Z$ is a Gaussian PDF. Without loss of generality, we may assume that $Z$ has mean 0. Applying the convolution property of the Fourier transform ($f*g\mapsto F\cdot G$) implies that $$ F_Y(s) \cdot F_X(s) \propto_+ e^{- as^2} $$ for some $a>0$. We will show that no function $F_Y$ satisfying this equation can be the Fourier transform of a non-negative function.

$F_X$ can be computed explicitly from this table of Mellin transforms. We have $$ F_X (s)=\int \frac{e^{t(1+is)}}{(e^{t}+1)^2} \,dt $$ The change of variables $u=e^t$ gives $$ F_X(s) =\int_0^\infty \frac{u^{is}}{(u+1)^2}\, du = \mathcal{M}[(t+1)^{-2}](z) $$ where $z=1+is$. The table gives the identiy $$ \mathcal{M}[(t+1)^{-2}](z)=\frac{\Gamma(2-z)\Gamma(z)}{\Gamma(2)} $$ Applying common identities for the Gamma function gives $$ \Gamma(2-z)\Gamma(z) = \frac{\Gamma(2-z)}{\Gamma(1-z)}\cdot \Gamma(1-z)\Gamma(z)=(1-z)\cdot \pi\csc\pi z $$ Putting it all together gives $$ F_X(s)= -i\pi s\cdot \csc(\pi(1+is)) = \frac{2\pi s}{e^{\pi s} - e^{-\pi s}} $$ Define $$ G(s):= 2\pi \frac{e^{-as^2}}{F_X(s)} = e^{-as^2} \left(\frac{e^{\pi s} - e^{-\pi s}}{s}\right) $$

We have shown that $F_Y(s)\propto_+ G(s)$. Since $G$ is an even function, its inverse transform is $$ g(t) = \frac{1}{2\pi} \int G(s) \cos st\, ds $$ We will now show that $g(t)$ cannot be non-negative, the desired result.

Expanding $s^{-1}(e^{\pi s} - e^{-\pi s})$ in a Taylor series gives $$ g(t) = \sum_{n=0}^\infty \frac{\pi^{2n}}{(2n+1)!} \int e^{-as^2} s^{2n} \cos st \, ds $$ Let $H_n$ denotes the $n$th Hermite polynomial, $$ H_n(t):=(-1)^ne^{t^2}\left(\frac{d}{dt}\right)^n e^{-t^2} $$ Equation (3.952.9) of ref. 1 gives $$ \int_0^\infty s^{2n}e^{-b^2s^2} \cos as \, ds = (-1)^n\frac{\sqrt{\pi}}{(2b)^{2n+1}}e^{-a^2/(4b^2)} H_{2n}\left(\frac{a}{2b}\right) $$ With $w:=\frac{\pi}{2\sqrt{a}}$ and $x:=\frac{t}{2\sqrt{a}}$ we obtain $$ g(t)\propto_+ h(w,x):=\sum_{n=0}^\infty \frac{w^{2n+1} (-1)^n}{(2n+1)!} e^{-x^2} H_{2n} (x) $$ Choose $y\in\mathbb{R}$ and define
$$ p(x):=h(w,x)e^{2xy-y^2}= \sum_{n=0}^\infty \frac{w^{2n+1} (-1)^n}{(2n+1)!} e^{-(x-y)^2} H_{2n} (x) $$ Note that $p(x)\in L_1$. This follows from the inequality $|H_{2n}(x)|\leq e^{x^2/2} 2^{2n+1} n!$, which is implied by (22.14.15) of ref. 2. Indeed, $$ I(w,y):=\int p(x)\,dx \leq \int\sum_{n=0}^\infty \frac{|(2w)^{2n+1}|}{(2n+1)!} e^{-(x-y)^2} n! e^{x^2/2}\, dx $$ which converges by the Ratio Test. This inequality also implies that we may apply Fubini's theorem to transpose the sum and integral, which gives
$$ I(w,y)=\sum_{n=0}^\infty \frac{w^{2n+1} (-1)^n}{(2n+1)!} \int e^{-(x-y)^2} H_{2n} (x)\, dx $$

Equation (7.374.6) of ref. 1 gives $$ \int e^{-(x-y)^2} H_n(x)\,dx = \sqrt{\pi} (2y)^n $$ which implies that
$$ I(w,y) = \frac{\sqrt{\pi}}{2y} \sum_{n=0}^\infty \frac{(2yw)^{2n+1}(-1)^n}{(2n+1)!}=\frac{\sqrt{\pi}}{2y} \sin 2yw $$ This implies that for some $y$, $p(x)$, and hence $x\mapsto h(w,x)$ cannot be non-negative, which implies the same of $g(t)$. This completes the proof.

References

  1. I. S. Gradshteyn, I. M. Ryzhik, Table of Integrals and Series, 4th ed., Academic Press, New York, 1965

  2. M. Abramowitz and I. A. Stegun, Handbook of Mathematical Functions, Dover Publications Inc., New York, 1972