Functions defined in the form ``$g:\mathbb{N}\to[0,\infty)$ such that $\lim_{n\to\infty}g(n)=\infty$ and $\lim_{n\to\infty}\frac{n}{g(n)}=0$'' are called weight functions. Using the weight function, the concept of weighted density, which is a generalization of natural density, was defined by Balcerzak, Das, Filipczak and Swaczyna in the paper ``Generalized kinsd of density and the associated ideals'', Acta Mathematica Hungarica 147(1) (2015), 97-115.In this study, the definitions of $g$-statistical convergence and $g$-statisticalCauchy sequence for any weight function $g$ are given and it is proved that these two concepts are equivalent. Also some inclusions of the sets of all weight $g_1$-statistical convergent and weight $g_2$-statistical convergent sequences for $g_1,g_2$ which have the initial conditions are given.