The missing link is a favorite argument of creationists because there will always be a missing link. Every life on earth is an unbroken chain going back millions of years, we can dig up fossils and place them in an approximate location on the timeline like laying out links on the floor but you will never find every single link (hell you won't find relatively many at all). There is always a missing link, you give them Australopithecine, Cromagnon, Denosovian and Homo habilis but they say well Australopithecine is not 'chimp enough' what came before that? Fossils are like key frames in an animation, they represent the points in evolutionary history that we can observe, we have to extrapolate what is between them though and the more keyframes you have the smoother/more accurate the animation.
For a long time we relied on the fossil record for our understanding of evolution but it's not a complete picture, it's like learning about the Egyptians from a few unearthed temples. Even still just from the fossil record you can form a chain tying whales to their last common ancestor with terrestrial wolves.
Now we have DNA sequencing which has vindicated Darwin in ways he could never have anticipated, we can compare living populations to one another and use genetic markers to figure out when populations split off.
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