Adding different classes to anchor in WordPress navigation menu

functions.php

<?php
/* Add this code to your theme's functions.php file */

function my_walker_nav_menu_start_el($item_output, $item, $depth, $args) {
    // you can put your if statements in here (use item, depth and args in conditions)
    if ( $depth == 1 ) {
        $item_output = preg_replace('/<a /', '<a class="level-1-menu" ', $item_output, 1);
    } else if ( $depth == 2 )
        $item_output = preg_replace('/<a /', '<a class="level-2-menu" ', $item_output, 1);
    }
    // .. and so on
    return $item_output;
}
add_filter('walker_nav_menu_start_el', 'my_walker_nav_menu_start_el', 10, 4);
?>