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Let \\(\\mathcal{D}(M)\\) denote the group of smooth diffeomorphisms of \\(M\\) and let \\(\\mathcal{D}_\\mu(M)\\) be its subgroup of diffeomorphisms preserving the volume form \\(\\mu\\) on \\(M\\). The homogeneous space \\(\\mathcal{D}(M)/\\mathcal{D}_\\mu(M)\\) can be naturally identified with the set of smooth probability densities, i.e., smooth functions \\(\\rho >0\\) on \\(M\\) satisfying the condition \\(\\int_M \\rho \\, d\\mu = 1\\). In this paper the authors consider analogues of the so-called \\(\\alpha\\)-connections on \\(\\mathcal{D}(M)/\\mathcal{D}_\\mu(M)\\) introduced in geometric statistics by Chentsov and Amari. The purposes of this paper are to provide a proof of the construction in [\\textit{B. A. Khesin} et al., Geom. Funct. Anal. 23, No. 1, 334--366 (2013; Zbl 1275.58006)] of Amari-Chentsov connections for circle diffeomorphisms, to generalize this construction to diffeomorphism groups of higher-dimensional manifolds and finally, as a by-product, to show integrability of the geodesic equations corresponding to \\(\\alpha=1\\).  The affine connection \\(\\nabla^{(\\alpha)}\\) given for a right-invariant vector field \\(W_\\eta = w \\circ \\eta\\) and a tangent vector \\(V = v \\circ \\eta\\) is given by  \\[  ( \\nabla^{(\\alpha)}_V W)_\\eta = -\\left\\{ \\Delta^{-1}d \\Bigl( d\\,\\mathrm{div}\\, w \\cdot v + \\frac{1-\\alpha}{2}\\,\\mathrm{div}\\,{w} \\,\\mathrm{div}\\,{v} \\Bigr) \\right\\}^\\sharp \\circ \\eta\\,  \\]  where \\(\\alpha \\in [-1, 1]\\) and \\(\\Delta = d\\delta + \\delta d\\) denotes the Laplace-de Rham operator.  In this paper the authors prove, that for any \\(\\alpha\\) the connections \\(\\nabla^{(\\alpha)}\\) and \\(\\nabla^{(-\\alpha)}\\) are dual with respect to the \\(\\dot{H}^1\\) metric and \\(\\nabla^{(0)}\\) is the Levi-Civita connection. The geodesic equation of \\(\\nabla^{(\\alpha)}\\) on \\(\\mathcal{D}(M)/\\mathcal{D}_\\mu(M)\\) is equivalent to the following nonlinear PDE  \\[  d\\varphi_t + d\\iota_{\\displaystyle u} d\\varphi + (1-\\alpha) \\varphi \\, d\\varphi = 0, \\qquad \\varphi = \\mathrm{div}\\, u.  \\]  The geodesic equations of \\(\\nabla^{(\\alpha)}\\) on \\(\\mathcal{D}(M)/\\mathcal{D}_\\mu(M)\\) with \\(\\alpha =0, \\pm 1\\) are integrable equations in any dimension 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