In Cognitive Radio (CR) systems, spectrum sensing plays a key role to determine the free frequency bands. However, when the primaryuser (PU) signal spectrum exhibits localized fading, PU detection cannot be guaranteed. In addition, as the CR may use the PU faded frequencies, the PU spectrum can be disturbed by a narrow-band interference (NBI) and synchronization algorithms used for the PU carrier frequency offset (CFO) estimation suffer degradations. In this paper, we propose a new scheme that jointly allows the CR-NBI to be detected and the PU-CFOs and the channels to be estimated in an orthogonal frequency division multiple access (OFDMA) system. It combines a sigma point Kalman filter and a test aiming at detecting a variation of the measurement-noise covariance matrix. Simulation results confirm that the proposed algorithm can accurately detect the CR-NBI and estimate the PU-CFOs.