Prepare cake batter according to package directions, set aside.
In a small mixing bowl, beat cream cheese and sugar until smooth. Add eggs, beat on low speed just until combined.
Pour half of the cake batter into a greased 9 x 13 baking dish. Gently pour cream cheese mixture over batter. Gently spoon remaining batter over top: spread to edge of pan.
Bake at 325 for 70-75 minutes or until a toothpick inserted near the center comes out clean. Cool on a wire rack for 1 hour. Refrigerate.
For frosting, combine sugar, milk, butter and egg yolks in a heavy saucepan. Cook and stir over medium-low heat until thickened and a thermometer reads 200. Remove from the heat. Stir in vanilla; fold in coconut and pecans. Cool until frosting reaches spreading consistency. Frost cooled cake. Refrigerate leftovers.