Strictly speaking, you cannot initiate yourself into any religion!
However, Janet & Stewart in their book A Witches Bible, do lay out a method of self-initiation when one cannot find a real coven.
The problem with that, is the lack of the real rituals and ceremonies that are so uplifting and joyous in even a small coven. And, certainly,the inner mysteries of Wicca cannot be learnt without initiation! I am not Wiccan, but I do understand it. And I am old enough to have known some of the original Wiccans.
Also, there so many "paths" of Wicca these days.The original two were Gardnerian (from Gerald Gardner), and Alexandrian (Not very much different from Gardner).
So, I would say that self initiation is possible; but a real coven is much better.