This statue is dedicated to one of Hungary's favourite Austro-Hungarian monarchs - the empress Elisabeth, nicknamed Sissi. The wife of Emperor Franz Josef, Sissi was quite fond of Hungary, and the affections were largely reciprocated by the Hungarian people.
The statue, made by György Zala in 1932, is a bit difficult to find. It is tucked away in a small park, to be found northwest of the Erzsébet bridge, on the Buda side of the river.
Wikipedia https://en.wikipedia.org/wiki/Empress_Elisabeth_of_Austria
Official Website https://www.kozterkep.hu/31/erzsebet-kiralyne-szobra
Address (Unnamed Road), Budapest 1013, Hungary
Coordinates 47°29'26.422" N 19°2'45.16" E