How to Tame/Train Blue Diamond Dove?

I have a female blue diamond white-rumped Dove named Valkyrie. I bought her from Petsmart over a month a go. I have tried to tame her and it just doesn't seem to be doing any good. I gave her three weeks to settle into her new environment. She is a very anxious bird. Even if you go near the cage she panics and paces the other side of the cage. I have done the "small room" technique with her and try to tire her out and get her to perch on my finger. It does little good because as soon as I try to give her water, she flies. And even if I do get her to perch on my finger and give her water and talk to her sweetly, the next day is back to square one. She coos because she wants to escape. I try to let her fly around but she just perches in my closet and stays there. Any help?