You can change the Transparency of the ParticleEmitter by clicking the triple period button shown after clicking on the property input. Then, just set up the keyframes, including start and end keyframes {time:value}:
{0.0:1.0}
{0.2:0.0}
{0.8:0.0}
{1.0:1.0}
If you set up the keyframes right, you’ll get a simple yet effective smoke particle that fades in and out. Adjust the two inner keyframes closer to the start/end if you want a faster fade effect and the opposite for a slower fade time.