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Cognitive radio (CR) enables dynamic spectrum access to provide universal connectivity across different types of radio access technologies, realizing seamless content delivery in the next generation wireless networking. As the most general cognitive radio network scenario, multiple ad hoc and infrastructure networks sharing the same spectrum are allowed to cooperate with each other by using other networks' nodes as relays to carry and forward traffic, forming an interconnected heterogeneous network. Previous research is limited to the connectivity analysis of hybrid wireless networks with path loss channel model. In this paper, we analyze the connectivity of the interconnected heterogeneous network consisting of multiple ad hoc networks and multiple infrastructure networks from a percolation-based perspective, considering both noise-limited and interference-limited environment with general fading channel model. The benefit of network-based cooperation is quantified in terms of the percolation threshold, facilitating proper network control and deployment. For example, using such quantification, we can specify the amount of infrastructure deployment or reliable connections to control the connectivity of existing ad hoc networks, and vice versa. Finally, we apply the analysis to the coexistence of primary and secondary networks, as the common CR scenario.