Maggie Cogan, a homeless woman living in Central Park, is the riveting subject of this compassionate documentary. Friendly and forthcoming, Maggie gradually imparts all her beliefs to director Michel Negroponte: that she’s the daughter of Robert Ryan and Maureen O’Sullivan; that she was once married to a man she calls Jupiter; that John Lennon is alive and making antique furniture; and so on. Exploring Maggie’s past, Negroponte comes up with some fairly persuasive reasons for her delusions. Like Robin Williams in The Fisher King, Maggie has built a mythological fantasy world to insulate her from the pain of her life. She plays lovingly with her many dogs, which are basically replacements for her own children who were taken away from her. Negroponte allows Maggie her own outlaw dignity, so that, when she lucks into an apartment, our response is not relief but actually mild disappointment — she had seemed so much more vibrant in “Erebus” (her name for Central Park), in tune with the “air waves” and close to “the shadow of the living room.” Borderline disturbing (we see footage of a younger, more stable Maggie) but ultimately moving. Shot on video, originally shown on Cinemax. If you don’t want to be depressed, don’t go Googling to see what happened to Maggie after the movie’s events.