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Cognitive Radio (CR) is an intelligent radio technology to boost spectrum utilization and is likely to be widely spread in the near future. However, its flexible software-oriented design may be exploited by an adversary to control CR devices to launch large scale attacks on a wide range of critical wireless infrastructures. To proactively mitigate the potentially serious threat, this paper presents MadeCR, a Correlation-based Malware detection system for CR. MadeCR exploits correlations among CR applications' component actions to detect malicious behaviors. In addition, a significant contribution of the paper is a general experimentation method referred to as mutation testing to comprehensively evaluate the effectiveness of the anomaly detection method against a large number of artificial malware cases. Evaluation shows that MadeCR detects malicious behaviors within 1.10s at an accuracy of 94.9%.