The main purpose of this paper is to introduce the spaces w o θ A, M, ∆, p , w θ A, M, ∆, p and w ∞ θ A, M, ∆, p generated by infinite matrices defined by Orlicz functions. Some properties of these spaces are discussed. Also we introduce the concept of S θ [A, ∆] −statistical convergence and derive some results between the spaces S θ [A, ∆] and w θ [A, ∆]. Further, we study some geometrical properties such as order continuous, the Fatou property and the Banach-Saks property of the new space w ∞ θα A, ∆, p. Finally, we introduce the notion of S θ [A, ∆] −statistical convergence of order α of real number sequences and obtain some inclusion relations between the set of S [A, ∆] −statistical convergence of order α.