In a large saucepan, melt the butter. Add the star anise pods, cinnamon sticks and vanilla bean and seeds and cook over moderately high heat until sizzling, about 1 minute. Add the cranberries and brown sugar, cover and cook over moderate heat, stirring occasionally, until the cranberries burst, about 5 minutes. Add the vinegar and Pernod and cook for 2 minutes longer. Discard the star anise pods, cinnamon sticks and vanilla bean and stir in the lemon and lime zests. Let the compote cool to room temperature before serving.