We have reason to believe the world is the way it looks.
I can see through the air and I can walk through it, I cannot see through the walls of my cave and I cannot walk through them. I extrapolate from this that other objects and media that I can see through can be walked through, and other objects that cannot be seen through cannot be walked through. Consequently, I can walk through water, but not on it. I can walk on solid ground, but not through it.
I then encounter situations that change my rules of thumb for dealing with the solid and the fluid. I encounter muddy water, or quicksand. I can not see through them, but I can walk through them with varying success, and can not walk on them. My new heuristics involve looking for clues on the solidity or fluidity of a substance before attempting a physical encounter.
Notice that these rules of thumb were established by trial-and error. I can (generally) perform this kind of trial and error using my five senses on anything that I can come into direct contact with.
What about clouds? Clouds are a more difficult concept to deal with because, upon sighting my first cloud, I can only use the frames of reference that I have established previously. Additionally, I cannot touch, smell, taste or hear a cloud, so I am limited in what my senses can tell me. So ... clouds look solid, except that I can sometimes see through them. I may then consider them solid or fluid, as my observations dictate.
Then I encounter fog. I can kind-of see through it, kind-of can't. It varies. I can walk through it though, so my rules of thumb broaden to include fog. I may also have made the connection between fog and clouds - if I don't, someone eventually will. Clouds and fog may be the same kind of entity.
What about rain? Every time I've encountered it, it's fallen from the sky. 99.9% of the time there are clouds directly overhead, 100% of the time there were clouds in the sky, very nearly overhead. Sooner or later, I may be able to infer that rain comes from clouds, and clouds somehow contain water. Much later, maybe tens of millennia, someone confirms that clouds are made of water vapor. We have learned more about the world.
What about the sun and moon? Similar to the problem of clouds, celestial objects are an even more abstract concept, especially since they have no fog-like analogues that I can inspect directly with senses other than sight. Understanding the nature of the sun, moon, stars, planets, comets, meteors, novae and other celestial phenomena are, if I am the first human to inquire of their nature, beyond my ability to understand. If I have millennia of records that I can study, I can form some hypotheses about them. As better tools are built, telescopes, compasses, sextants, clocks, calendars and the like, I can make predictions that can be verified, and then even better hypothesize about the nature of the universe above the clouds.
Not once, in this contrived narrative, was there a need to posit something non-natural as the explanation, cause or effect of a phenomena that I observed.
Imagine that I was alone in the world, with no modern tools and no prior knowledge. I do not, I can not, know what I might conclude about phenomena that are beyond my reach - phenomena that I can only see, and then possibly only rarely. I can imagine, however, that in a family or tribal setting, around a campfire at night - five, ten or twenty millennia ago, being able to provide an explanation and being able to supply predictions about these phenomena might bring me advantages within the family or tribe - and I might be encouraged to produce more explanations and predictions about these phenomena as my fame grows, and the less imaginative tribe members express their desire for my more imaginative words.
Over time, my stories are spread. If they have explanatory or predictive or even comforting power, they persist through the generations. As the generations pass, and my stories are melded with the stories of other imaginative humans, they change, become more elaborate, and sometimes vanish as the tribes change and grow into larger social structures or die off completely.
One day, when the tools and techniques for observing natural phenomena are sufficiently advanced, and the body of knowledge is sufficiently large, the need for my primitive stories will wane, but will not die because of the massive industry that was built up to promulgate my stories and those of similar imaginative minds - incidentally providing jobs and influence to the industry workers.
There will eventually, down the millennia, be conflict between what is real and what is imagined. My stories will eventually vanish from daily life - hopefully to be resigned to a back corner in the loft of an ancient library. Reality will win. And it all started because I liked the feeling I got when I told stories and people liked the way they felt when I told my stories to them.
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