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Name changes in the 1800s

Did people change their first names in the 1800s?

I have a family member that has always been named David. His marriage certificate says David, his children's baptism's also named him David, However, I am unable to find any documents for David before his marriage and when looking into his parents a bit more, it looks like the only children they had were a William and a Lucy. So I am wondering if William changed his name to David.
I am so confused. This is why I am wondering if people changed their names in this period. I haven't come across this problem before.
Any help would be much appreciated.