Some schools of training were maintaining for a long time that the process was fairly black and white, and that both systems should be trained separately, or else you would loose the training benefit of either.. Nature is rarely so stubbornly segregated, and, as it turns out, mixed training is perfectly fine.

Aerobic training will help you increase your anaerobic threshold, but training slightly above the threshold can be more efficient at increasing that threshold, if you are fit enough to recover from the lactic build-up before your next training. (Or if you have the luxury to increase your resting period so that you are fully recovered before you train again)

Anaerobic training will improve your anaerobic tolerance, but a good aerobic base will also help you improve your anaerobic tolerance, as your body will become more efficient at recycling the lactic acid back into ATP, delaying the moment when your muscles will be too saturated to function at the required level.

In general, while exercising, your muscles are using both ATP production means, aerobic and anaerobic. So, once more, you can see that by going slightly above your lactate threshold (but still with a good aerobic energy contribution) you are also contributing to improve your anaerobic tolerance, by staying longer in a range where your body needs to work harder to deal with the excess lactic build up. (Longer than a "pure" anaerobic training that cannot be sustained)