The only way for this to happen is for Anchor to agree to release the podcast, and for the Apple Podcasts staff to transfer the podcast from Anchor's ID to yours: I don't know whether this is even technically possible - I've never heard of it happening - or whether the Podcasting staff are able or willing to do it. Start by asking Anchor, and then contact Support. Go to https://itunespartner.apple.com/en/podcasts/overview and click the 'Contact Us' link at the bottom of the page. Don't get your hopes up. i'm afraid that by using Anchor you make it their podcast, not yours.
The only alternative I can think of is for you to get Anchor to delete the podcast altogether from the Store, and then start over, creating your feed and submitting it to Podcasts Connect. This will make it a new podcast and you will lose all your subscibers and ratings.