command line - gzip: stdin: not in gzip format when trying to extract kernel tarball

I am new to Ubuntu. I am trying to install the latest kernel (4.6), so I can get a few functions on my Surface Pro to work.

I ran these commands:

wget https://cdn.kernel.org/pub/linux/kernel/v4.x/linux-4.6.tar.xz

tar zxvf linux-4.6.tar.xz
cd linux-4.6

But this is what I get.

$ wget https://cdn.kernel.org/pub/linux/kernel/v4.x/linux-4.6.tar.xz
HTTP request sent, awaiting response... 200 OK
Length: 89461728 (85M) [application/x-xz]
Saving to: ‘linux-4.6.tar.xz’


linux-4.6.tar.xz    100%[===================>]  85.32M  1.99MB/s    in 46s     

2016-05-27 11:52:02 (1.84 MB/s) - ‘linux-4.6.tar.xz’ saved [89461728/89461728]

$ tar zxvf linux-4.6.tar.xz
gzip: stdin: not in gzip format
tar: Child returned status 1
tar: Error is not recoverable: exiting now


$ cd linux-4.6
bash: cd: linux-4.6: No such file or directory

I don't know how to get past this error with tar. What should I do?