Cognitive radio system is an intensively studied area in that it saves money and bandwidth by sensing the available licensed spectrum for unlicensed users. This advantage provides a promising future for the application of cognitive radio in smart grid. In this paper, we propose to communicate through a cognitive radio link between the sensors at the consumer side and the control center of smart grid. In this way, the state estimator needs to adjust to this new communication link as the link is affected by primary users. This link is governed by multiple semi-Markov processes each of which can capture and model one channel of the cognitive radio system. State estimation algorithms under this structure are developed for two cases: one with arrival acknowledge and the other without. Numerical examples are given to illustrate the performance of the proposed estimation algorithm.