We consider the statistics of time delay in a chaotic cavity having M open channels, in the absence of time-reversal invariance. In the random matrix theory approach, we compute the average value of polynomial functions of the time delay matrix Q = −i ̵ hS † dS dE, where S is the scattering matrix. Our results do not assume M to be large. In a companion paper, we develop a semiclassical approximation to Smatrix correlation functions, from which the statistics of Q can also be derived.Together, these papers contribute to establishing the conjectured equivalence between the random matrix and the semiclassical approaches.