Game theoretical approaches have been used to develop distributed resource allocation technologies for cognitive heterogeneous networks. In this chapter, we present a novel distributed resource allocation strategy for cognitive small cell networks based on orthogonal frequency-division multiple access. In particular, we consider a heterogeneous network consisting of macrocell networks overlaid with cognitive small cells that opportunistically access the available spectrum. We focus on a regret-matching game approach, aiming at maximizing the total throughput of the small cell network subject to cross-tier interference and quality of service (QoS) constraints. The regret-matching game approach exploits a regret procedure to learn the optimal resource allocation strategy from the regrets of the actions of cognitive users. Furthermore, the regret-matching game approach is extended to the joint resource allocation and user admission control problem. Numerical results are presented to demonstrate the effectiveness of the proposed regre-matching approaches.