1. Combine rosemary, thyme, parsley, garlic, zest, anchovy fillets, pepper and oil in a food processor; puree until a fairly smooth paste forms, scraping down sides of bowl if necessary. Pat lamb dry and make 1-inch-deep slits all over with a small, sharp knife. Rub paste on lamb and into slits. Place lamb on a rack in a large roasting pan, cover and refrigerate for 24 hours. Transfer to countertop 1 hour before roasting.
2. Preheat oven to 400°F. Roast lamb for 30 minutes. Reduce oven temperature to 375°F and roast until a thermometer inserted in thickest part of lamb, not touching bone, registers 135°F for medium-rare (temperature will rise to 145°F as lamb rests), 1 to 1 1/4 hours longer. Remove lamb from oven, cover loosely with foil and let rest 20 minutes.
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