[ENH] Alpha distribution

[SaiRevanth25]

What does this implement/fix? Explain your changes.

Implements Alpha Distribution. Towards https://github.com//issues/22

Does your contribution introduce a new dependency? If yes, which one?

No

Did you add any tests for the change?

No

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[fkiraly]

Looks good!

Not blocking, but we should:

• add an explanation of the parameterization to the docstring - the "alpha" distribution is not a common one, so more explanation on how to obtain it would also be useful (e.g., in relation to Gaussian)
• fix the type annotations, as @VascoSch92 suggests