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In the book ``All of statistics A Concise Course in Statistical Inference'' of Larry Wasserman has a strange symbol, and look like a coil spring ... How can I use it in LaTeX?

Welcome to TeX-SE. I would like to draw your attention to the answers of this question. I base my proposal on the TikZ answer there. A simple (but scalable) coil can be produced with

documentclassarticle
usepackagetikz
usetikzlibrarydecorations.pathmorphing
newcommandWassermantikz[baseline=-0.8ex]draw[line width=0.07em,decorate,decoration=coil,segment
length=0.45em,amplitude=0.8ex] (0,0) -- (2em,0);
begindocument
[ X_1 Wasserman X_2]
enddocument

With some extra amount of work you can make it "boldable" and comply with the different math styles (the above version already becomes large if you say large, of course outside of math mode).

documentclassarticle
usepackagetikz
usetikzlibrarydecorations.pathmorphing
usepackageamsmath
makeatletter
DeclareRobustCommandcheckbold[1]% https://tex.stackexchange.com/a/24635/121799
 edef@tempamath@versionedef@tempbbold%
 ifx@tempa@tempb%
 def#11%
 else
 def#10%
 fi
makeatother 
newcommandWassermanCoilcheckboldtmp%
ensuremathmathrel%
mathchoice%
tikz[baseline=-0.8ex]draw[line width=(1+0.33*tmp)*0.06em,decorate,decoration=coil,segment
length=0.45em,amplitude=0.8ex] (0,0) -- (2em,0);
%
tikz[baseline=-0.8ex]draw[line width=(1+0.33*tmp)*0.06em,decorate,decoration=coil,segment
length=0.45em,amplitude=0.8ex] (0,0) -- (2em,0);
%
tikz[baseline=-0.6ex]draw[line width=(1+0.33*tmp)*0.045em,decorate,decoration=coil,segment
length=0.36em,amplitude=0.6ex] (0,0) -- (1.6em,0);
%
tikz[baseline=-0.45ex]draw[line width=(1+0.33*tmp)*0.035em,decorate,decoration=coil,segment
length=0.25em,amplitude=0.45ex] (0,0) -- (1.2em,0);

begindocument
[ X_1 WassermanCoil X_2 X_Y_1 WassermanCoil Y_2]
boldmath
[ X_1 WassermanCoil X_2 X_Y_1 WassermanCoil Y_2]
unboldmath

Large AWassermanCoil B Huge AWassermanCoil B small AWassermanCoil B

enddocument

One could go even more fancy by employing a 3d coil but I am not going to spell this out unless asked to.

Another thing you can do is to follow CarLaTeX's answer and use trimpclip to clip away one coil of the gluon (that has been mentioned in the comments just now) to get

documentclassarticle
usepackageamsmath
usepackage[nointegrals]wasysym 
usepackagetrimclip
newcommandWassermanCoilclipbox0em -1ex 1.65em -1exgluon%
clipbox1.7em -1ex 0em -1exgluon
begindocument
[
X_1WassermanCoil X_2
]
enddocument

If the symbol gluon hadn't existed, or you drew the symbol with TikZ or you can use, for example, the package circuitikz. Adding also the scalerel package allows you to adjust the size of the symbol as you wish.

documentclassarticle 
usepackagecircuitikz
usepackagescalerel
newcommandngluonscaleobj.7begintikzpicture 
 draw (.65,0) to [cute inductor] (1.5,0) ; 
endtikzpicture
begindocument 
$X_1,ngluon, X_2|X_3$
enddocument