With plenty of laugh out loud moments, the movie sees Colman portray Britain's 18th-century Queen Anne as an insecure, frail, tempestuous, childish royal who is easily influenced by her friend and confidante Sarah, Duchess of Marlborough.
However Sarah, played by Weisz, soon finds herself vying for the queen's attention as well as affection when maid Abigail, portrayed by Stone, arrives.
"All three of us ... play parts that were filthy and sexy and emotional and sad ... which is normal, not just an attempt to be gorgeous all the time and a little bit sort of prettily flawed," Colman said at the BFI London Film Festival.
The actresses, who have praised by critics, share the spotlight as three central characters, which Weisz described as "very textured and layered and complicated."
"I suppose I find it sad that we have to bring that up but I suppose we do, it's still a little bit unusual although I don't think it was ... back in the Hollywood golden era," she said.
"There was Katharine Hepburn, Bette Davis, Barbara Stanwyck - the list goes on ... they were women that took the leading roles."
While set in the 18th century, the film directed by Yorgos Lanthimos, known for "The Lobster" and "The Killing of a Sacred Deer", has contemporary touches such as in the language used.
"This was such a specific type of period story," Stone said when asked whether she would do more costume pieces.
"It was kind of filthy and funny and ridiculous and all of it. So (if) there are more like this than then sure, of course."
"The Favourite" first premiered at the Venice Film Festival, where it won the Grand Jury Prize, and Colman - soon to be seen portraying Britain's Queen Elizabeth in Netflix series "The Crown" - was named Best Actress, garnering Oscar buzz.
Asked about the Oscar speculation, Lanthimos said: "It matters if you get it."
"But I think it's best to not think about it too much and do the work, do the best that you can and then if people appreciate the film that's great."
(Reporting By Sarah Mills; additional reporting Marie-Louise Gumuchian; Editing by Marguerita Choy)