Data representation is a crucial issue in signal processing and machine learning. In this work, we propose to guide the learning process with a prior knowledge describing how similarities between examples are organized. This knowledge is encoded in a tree structure that represents nested groups of similarities that are the pyramids of kernels. We propose a framework that learns a Support Vector Machine (SVM) on pyramids of arbitrary heights and identifies the relevant groups of similarities groups are relevant for classifying the examples. A weighted combination of (groups of) similarities is learned jointly with the SVM parameters, by optimizing a criterion that is shown to be an equivalent formulation regularized with a mixed norm of the original fitting problem. Our approach is illustrated on a Brain Computer Interfaces classification problem.