Preheat oven to 325 degrees. Line 2 baking sheets with parchment paper.
In a bowl, lightly whisk together whole eggs, egg yolks and vanilla. Set aside.
Combine flour, sugar, baking powder, salt, anise seed and all citrus zests in the bowl of a stand mixer fitted with the paddle attachment. Beat on low speed until mixed. Add egg mixture and continue to beat until almost completely incorporated, about 15 seconds. Add almonds and beat until the dough comes together.
On a lightly floured work surface, divide dough into thirds. Shape each third into a log about 10 inches long. Place 2 logs on a prepared baking sheet, spacing them about 3 inches apart. Place the third log on the second baking sheet.
Bake until light brown, about 20 minutes. Let cool on the pans to room temperature. Reduce the oven temperature to 300 degrees.
Transfer the logs to a cutting board and, using a serrated knife, slice crosswise on a slight diagonal 3/4 inch thick. Place slices, cut side up, on 1 baking sheet and return to the oven. Bake until golden brown and dry, about 15 minutes. Let cool on the pan to room temperature.
The biscotti may be made up to two weeks in advance. Store in an airtight container at room temperature.
Makes about 36 cookies