A Representer Theorem for Hawkes Processes via Penalized Least Squares Minimization

arXiv:2510.08916v2 Announce Type: replace
Abstract: The representer theorem is a cornerstone of kernel methods, which aim to estimate latent functions in reproducing kernel Hilbert spaces (RKHSs) in a nonparametric manner. Its significance lies in converting inherently infinite-dimensional optimization problems into finite-dimensional ones over dual coefficients, thereby enabling practical and computationally tractable algorithms. In this paper, we address the problem of estimating the latent triggering kernels–functions that encode the interaction structure between events–for linear multivariate Hawkes processes based on observed event sequences within an RKHS framework. We show that, under the principle of penalized least squares minimization, a novel form of representer theorem emerges: a family of transformed kernels can be defined via a system of simultaneous integral equations, and the optimal estimator of each triggering kernel is expressed as a linear combination of these transformed kernels evaluated at the data points. Remarkably, the dual coefficients are all analytically fixed to unity, obviating the need to solve a costly optimization problem to obtain the dual coefficients. This leads to a highly efficient estimator capable of handling large-scale data more effectively than conventional nonparametric approaches. Empirical evaluations on synthetic datasets reveal that the proposed method attains competitive predictive accuracy while substantially improving computational efficiency over existing state-of-the-art kernel method-based estimators.