In a small bowl, mix together the corn starch and water. Set aside. Combine milk, sugar, egg yolks, butter and cornstarch mixture. Cook, stirring constantly, over medium heat until thickend, about 5 minutes. Add coconut flakes, chopped pecans and vanilla; stir until combined. Let cool. Spread between cake layers and on top of cake. Serve immediately. Store leftover cake covered in refrigerator.