No business = no loan. No visa = no business. No sponsor = no visa. If we are only talking about self-employed businessmen/women.
The overwhelming majority of European and North American gaijin operating their own businesses are married to Japanese nationals and have spouse visas, which allows them almost total freedom vis-a-vis an occupation.
Get a university degree, get someone else to foot the bill for you to come to Japan (the JET program is excellent), experience life here - then decide if it's the place where you want to work and live.