A part of it is that nowadays we are able to determine the existence of some species using what we call shotgun DNA sequencing. We basically take a bunch of seawater and just look to see what dna is in it. Almost always we find a bunch of dna that we cannot identify, except to say that it belongs to something we have not found yet.
But in other cases it is just making rough educated guesses based on how likely it is that there are more species out there.
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