In this paper, initially a mathematical model is formulated for transient frequency of power system considering time delays which occur while transmitting the control signals in open communication infrastructure. Time delay negligence in a power system leads to improper measurement of frequency variation in power system. The study of impact of time delays on the stability of power system is performed by estimating the decay rate of frequency wave form using Kalman Filter (KF). In power system, there is a possibility of multiple time delays. This paper also focusses on developing Interacting Multiple Model (IMM) Algorithm with multiple model space using Kalman Filter (KF) as state estimator tool. The multiple time delays in power system is considered as multiple model space. The result shows that KF provides better estimate of correct model for a particular input-set. The qualitative properties of Riccati difference equation (RDE) in terms of state error covariance of IMMKF are also analyzed and presented.