Sqlite by default does not provide regex_replace function. You need to load it as an extension. Here is how i managed to do it.
Download this C code for the extension (icu_replace)
Compile it using
gcc --shared -fPIC -I sqlite-autoconf-3071100 icu_replace.c -o icu_replace.so
And in sqlite3 runn following command post above mentioned command has run and create a file icu_replace.so
SELECT load_extension(' path to icu_replace.so', 'sqlite3_extension_init') from dual;
After this you will be able to use such a function as :-
select regex_replace('\bThe\b',x,'M') from dual;