Robert Downey Jr. has a previous connection to the Arbus family. His father, filmmaker Robert Downey Sr. made Greaser's Palace (1972) starring Diane Arbus' ex-husband Allan, with young Robert in a small part.
Towards the end of the movie, Lionel is shown beginning to blow up the canvas raft. He later explains that it is for Diane when he takes his final swim. Someone suffering from such extremely low lung function that he will only live a few months would never be able to inflate a raft that size.
In the last scene, when Diane has shed her clothes and talks to the naked woman on the bench, the full shots of "her" body are clearly those of a body double in a large wig, ruffled to conceal the double's face. Additionally, the double's posterior, waist and stomach do not match Nicole Kidman's same features, seen earlier in the movie during her love-making scene with Lionel.
If you were like me and jumped in halfway through the movie on HBO, for example, you are going o be utterly confused. It is likely best not to make any judgements right off the bat. I am extremely good at picking up the plots of movies, but this one you need to start from the beggining.