Cognitive Radio (CR) was introduced to improve the utilization of Radio Frequencies (RF) that remain under-utilized by the primary users (licensee). The main idea behind CR is to allow un-licensed (secondary) users to occupy vacancies in licensed bands. However, CR mandates the secondary user to vacate the frequency band within a specified time after the primary user attempts to use the frequency band. CR does not expect the primary users to share their frequency usage schedules and hence the secondary users have to scan and predict the vacancy. The advantage for the secondary users is that they do not pay for utilization of band, if they are conformal to the CR specifications. CR is the next generation of smart communication systems. CR requires continuous monitoring of the intended RF band in the intended geographical area. This information may be used to predict spectral vacancies (white spaces). Certain bands, e.g. Analog TV bands, will have pre declared utilization schedules but in general, spectrum utilization is a random process and hence prediction can be difficult. However, Deep Learning (DL) techniques can improve the accuracy of prediction. Deep Learning techniques require large and clean data sets to work correctly. Such data sets are also necessary to compare achievable accuracy of prediction algorithms. Towards this end, we have created data sets that can be used for simulation, training and testing of CR over GSM band (890-960MHz). A typical file with two hour of observations will have about 1.2 million samples. More than 1000 sets of data samples have been captured from urban and rural areas in India. All the data sets have been cleaned to avoid instrument errors and statistical outliers. In this paper we have used these standardized data sets to perform a comparative analysis of three DL methods for CR, viz. Auto-encoder (AE), Long Short-Term Memory (LSTM) and Multi Layer Perceptron (MLP). Results of the comparison are discussed.