Billy believes pixies live in pine trees. Billy can believe that if he wants to I guess, but it does prompt a question: if you are going to believe that pixies live in the pines, why not affirm that pixies also live in the firs and aspens? And what about sprites living in the rocks and rivers? In short, Billy's belief in pixies living in the pines is either arbitrary or the beginning of a slipperly slope into an ever expanding ontological catalogue.
Does a Christian face this dilemma? Either admit that Zeus (and innumerable other deities) exist or accept that she is hopelessly arbitrary in stopping at Yahweh?
In order to begin addressing this question, let's turn from religion to the every day. My keys are gone. I left them on the countertop and dangnabbit, now they're gone! Oh wait, there they are, on the coffee table.
How do we explain the case of the disappearing/reappearing keys? Logically speaking, there are an infinite number of possible explanations. Here are three: (1) my memory was faulty and I placed the keys on the coffee table, not the countertop. (2) A poltergeist moved the keys. (3) The keys disappeared into some strange quantum wormhole while an identical set spontaneously popped into existence on the coffee table.
Since there are an infinite number of options, we can never logically exclude every possible option. Nonetheless, we can draw reasonable conclusions about what happened. But we always do so relative to a background set of beliefs while never even stopping to consider the vast range of other options.
Let's say that we conclude (1) is probably correct. We accept it whilst sensing no obligation to refute (2) and (3). How is it that we exclude (2) and (3) from consideration? As William James would have put it, it is because they are not live options for us. It is not that we have some logical proof that (2) or (3) could not occur. We just don't take them seriously.
That which is true in the everyday disappearance of a set of keys is also true when scientists formulate hypotheses and construct theories. There are in fact an infinite number of hypotheses that could explain any given phenomenon. But the scientist never bothers to consider the vast majority of them because they are not live options for him.
That which is true in the everyday and in science is true in metaphysics and religion as well. A certain range of explanations are not live options for the Christian theist. Another set are not live options for the atheist. And another set are not live options for the ancient Greek.
Much else remains to be discussed including the rational grounds for shifting paradigms or worldviews, a question much discussed since the writings of Thomas Kuhn. But at the very least we can see that the question posed to the theist: "Why Yahweh and not Zeus?" is part of a general question: "Why X and not Y?" And that question is faced by everybody all the time.

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