In the last decade, the Fossilized Birth–Death (FBD) process has yielded interesting clues about the evolution of biodiversity through time. To facilitate such studies, we extend our method to compute the probability density of phylogenetic trees of extant and extinct taxa in which the only temporal information is provided by the fossil ages (i.e. without the divergence times) in order to deal with the piecewise constant FBD process, known as the “skyline FBD”, which allows rates to change between pre‐defined time intervals, as well as modelling extinction events at the bounds of these intervals. We develop approaches based on this method to assess hypotheses about the diversification process and to answer questions such as “Does a mass extinction occur at this time?” or “Is there a change in the fossilization rate between two given periods?”. Our software can also yield Bayesian and maximum‐likelihood estimates of the parameters of the skyline FBD model under various constraints. These approaches are applied to a simulated dataset in order to test their ability to answer the questions above. Finally, we study an updated dataset of Permo‐Carboniferous synapsids to get additional insights into the dynamics of biodiversity change in three clades (Ophiacodontidae, Edaphosauridae and Sphenacodontidae) in the Pennsylvanian (Late Carboniferous) and Cisuralian (Early Permian), and to assess support for end‐Sakmarian (or Artinskian) and end‐Cisuralian mass extinction events discussed in previous studies.