Add the milk, egg yolks, butter, and sugars to a medium sized saucepan over medium heat. Bring mixture to a boil and then lower heat to a simmer. Stir frequently and continue cooking for 10-12 minutes or until mixture has thickened. Remove from heat.
Stir in coconut, pecan, and vanilla.
Let frosting cool slightly and then spread over the cooled cake.
Chill for 1-2 hours, then serve.
