PRESTON, Conn.—Connecticut state police are calling the shooting deaths of a woman and her two young grandchildren a double murder-suicide and say she had permission to pick them up from their daycare.

State police spokesman Lt. J. Paul Vance says 47-year-old Debra Denison was armed when she left her Stonington home to pick up the children from their daycare in North Stonington Tuesday afternoon.

State police issued an Amber Alert Tuesday evening for Denison, 2-year-old Alton Perry and his 6-month-old brother, Ashton. The three bodies were found in a parked car in nearby Preston Tuesday night.

State police believe Denison shot the kids and herself. The chief medical examiner's office will be performing autopsies.

Denison's family said she suffered from bipolar disorder and had a history of mental health problems.