I am trying to download a .sra file using wget command but every time the connection is closed and it retry and download is never complete. Please help me.
Look into local firewall and/or other restrictions. Also make sure you are not trying to download restricted data that requires authorization.
Where possible you should search EBA-ENA and download fastq files directly.
use ncbi fastq-dump https://www.ncbi.nlm.nih.gov/books/NBK158900/
These posts answer your question
How to download raw sequence data from GEO/SRA
C: download from SRA