In a saucepan, add the butter, sugar, milk and egg yolks. Cook over medium-high heat until thickened. Stir in coconut, pecans, and vanilla.
Place one cooled cake layer on cake plate and top with ⅓ of the frosting. Top with 2nd layer and top with ⅓ of the frosting. Then top with the 3rd layer and top with the final ⅓ of the frosting.