Firstly, Check Zend expressive document
After that, create a doctrine.local.php file from .dist file. You can use MySQL, PostgreSql or SQLite, ...etc.
Your connection information should be at doctrine.local.php
I choose SQLite and create a database with following commands :
php vendor/bin/doctrine orm:schema-tool:create
This command creates my db file in data/db/ folder. This folder is ignored by git. So, you should execute above command
to see.