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.
The compote can be refrigerated for up to 1 month.