Hello, Azure cannot be installed locally. You may want to look at Azure Stack. https://azure.microsoft.com/en-gb/overview/azure-stack/ They have a dev kit called ASDK that can be installed locally on a server for you to play with.
Azure is only with Azure Stack On-Prem available (Richard write on the top post). If you need help please let me know because some colleges of me implement a production environment in Austria. For my point of view a really good on Premise scenario and really awesome in combination with Azure (Hybrid Cloud)