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There are two possibilities: one, that your radio's auto-shut-off feature has been activated (if it has one), the other is simple enough: it's broken / defective.
If it is defective, it might be a heat-related problem. But a heat-related problem most likely wouldn't show up in a mere few minutes... unless the period before shutting Off is longer, if it is turned On after a prolonged period of being powered Off. Try that... if the interval is definitely longer, the news is, it isn't an auto-shut-off feature.
If it is relatively new, then if it's 'broken', that's good, it's covered by warranty in that case. But it might be simply that you aren't yet acquainted with its controls, and the auto-shut-off feature is new to you. So at this point, I'm not sure which is the problem. That's why I suggest the test I mentioned: turning it On after being Off for a prolonged while, and seeing if that interval before shut-Off is longer.