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We consider an energy harvesting (EH) multi-antenna relay based cooperative cognitive radio network (CCRN), and investigate its outage and throughput performance with the peak-interference type of power control for both time-switching (TS) and power-splitting (PS) protocols. We assume that the relay uses maximum ratio combining and transmit antenna selection in the first and second hop respectively. Unlike other literature on this topic, we optimally combine the direct and relayed signals at the destination, and demonstrate that due to random nature of the channels and the power control used, there is considerable improvement in performance. We also analyze the performance of EH-CCRN with incremental relaying, and { analytically quantify the gain in throughput {over} EH-CCRN}. For the small number of antennas at the relay, throughput performance of EH-CCRN is actually inferior to one that uses the direct link without the relay, whereas that of the incremental scheme is always superior. We establish that there exist optimum values of EH parameters that result in maximum throughput with TS and PS EH protocols. We derive closed-form expressions for these in some special cases. Computer simulations are used to validate the derived expressions.