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Cognitive radio (CR) is a promising technology for future wireless spectrum allocation to improve the usage of the licensed bands. However, CR wireless networks are susceptible to various attacks and cannot offer efficient security. Primary user emulation (PUE) is one of the most serious attacks for CR networks, which can significantly increase the spectrum access failure probability. In this paper, we propose a defense strategy against the PUE attack in CR networks using belief propagation, which avoids the deployment of additional sensor networks and expensive hardware in the networks used in the existing literatures. In our proposed approach, each secondary user calculates the local function and the compatibility function, computes the messages, exchanges messages with the neighboring users, and calculates the beliefs until convergence. Then, the PUE attacker will be detected, and all the secondary users in the network will be notified in a broadcast way about the characteristics of the attacker's signal. Therefore, all SUs can avoid the PUE attacker's primary emulation signal in the future. Simulation results show that our proposed approach converges quickly, and is effective to detect the PUE attacker.