Sqlite does not provide the regex_replace function by default. You need to download it as an extension. Here is how I did it.
Download this C code for extension (icu_replace)
Compile it with
gcc --shared -fPIC -I sqlite-autoconf-3071100 icu_replace.c -o icu_replace.so
And in sqlite3 runn after executing the command mentioned above, the icu_replace.so file was launched and created
SELECT load_extension(' path to icu_replace.so', 'sqlite3_extension_init') from dual;
After that, you can use a function such as: -
select regex_replace('\bThe\b',x,'M') from dual;
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